Efficient maximum likelihood estimation of copula based meta t-distributions

DOI10.1016/J.CSDA.2010.09.027MaRDI QIDQ901485zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Parametric inference (62F99)

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Cites work

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• scientific article; zbMATH DE number 3393603 (Why is no real title available?)
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• Multivariate T-Distributions and Their Applications
• On a measure of lack of fit in time series models
• On the theory of elliptically contoured distributions
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• Robust Line Estimation with Errors in Both Variables
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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

Describes a project that uses

Uses Software

• LBFGS-B
• MASS (R)
• R

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