Efficient maximum likelihood estimation of copula based meta t-distributions

DOI10.1016/J.CSDA.2010.09.027zbMATH Open1328.65049OpenAlexW2006620219MaRDI QIDQ901485FDOQ901485

Authors: N. E. Zubov 

Publication date: 12 January 2016

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.09.027

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zbMATH Keywords

copulamaximum likelihood estimationinference for marginsmaximization by partsmeta-\(t\) distributionrolling windows

Mathematics Subject Classification ID

Parametric inference (62F99)

Cites Work

• Statistical Analysis of Financial Data in S-Plus
• Pair-copula constructions of multiple dependence
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Title not available (Why is that?)
• Statistics for near independence in multivariate extreme values
• Title not available (Why is that?)
• A Limited Memory Algorithm for Bound Constrained Optimization
• Maximization by Parts in Likelihood Inference
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Vines -- a new graphical model for dependent random variables.
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• An empirical analysis of multivariate copula models
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Multivariate T-Distributions and Their Applications
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Title not available (Why is that?)
• The meta-elliptical distributions with given marginals
• Completion problem with partial correlation vines
• Tails of multivariate Archimedean copulas
• On the theory of elliptically contoured distributions
• Title not available (Why is that?)
• On a measure of lack of fit in time series models
• Robust Line Estimation with Errors in Both Variables
• Financial modeling under non-Gaussian distributions.
• Estimation of the coefficient of tail dependence in bivariate extremes
• Efficient estimation of copula-GARCH models
• Title not available (Why is that?)
• Maximum likelihood inference in robust linear mixed-effects models using multivariate \(t\) distri\-butions
• Sampling Archimedean copulas
• A bivariate meta-Gaussian density for use in hydrology
• Bayesian skew selection for multivariate models

Cited In (5)

• A mixed copula model for insurance claims and claim sizes
• A simple iterative Z-estimator for semiparametric models
• Detection of heterogeneous structures on the Gaussian copula model using projective power entropy
• Estimation of C-MGARCH models based on the MBP method
• A new class of copulas involved geometric distribution: estimation and applications

Uses Software

• R
• MASS (R)
• LBFGS-B

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