Robust Fits for Copula Models
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Recommendations
- Robust estimation for copula parameter in SCOMDY models
- Robust estimators and tests for bivariate copulas based on likelihood depth
- Robust weighted likelihood estimators with an application to bivariate extreme value problems
- Weighted least-squares inference for multivariate copulas based on dependence coefficients
- Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study
Cites work
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- A nonparametric estimation procedure for bivariate extreme value copulas
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Asymmetric extreme interdependence in emerging equity markets
- Bivariate distributions with given extreme value attractor
- Bivariate extreme value theory: Models and estimation
- Estimation by the minimum distance method
- Frank's family of bivariate distributions
- Goodness-of-fit tests for copulas
- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
- Maxima of normal random vectors: Between independence and complete dependence
- On the simultaneous associativity of F(x,y) and x+y-F(x,y)
- Order Statistics of Samples from Multivariate Distributions
- Parametric families of multivariate distributions with given margins
- Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
- Robustness properties of \(S\)-estimators of multivariate location and shape in high dimension
- Semiparametric estimation in copula models
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- The Behavior of the Stahel-Donoho Robust Multivariate Estimator
- The Minimum Distance Method
- Understanding Relationships Using Copulas
- Uniform representations of bivariate distributions
- Wavelet estimation of copulas for time series
- Weak convergence of empirical copula processes
Cited in
(13)- Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study
- Estimation of Copulas via Maximum Mean Discrepancy
- Robust pair-copula based forecasts of realized volatility
- Robust feature screening for elliptical copula regression model
- Robust estimators and tests for bivariate copulas based on likelihood depth
- New estimates and tests of independence in some copula models
- Copula-based regression estimation in the presence of outliers
- A concept of copula robustness and its applications in quantitative risk management
- A Study on Robustness in the Optimal Design of Experiments for Copula Models
- A flexible parameter estimation method for the Farlie-Gumbel-Morgenstern copula: a simulation study
- Robust estimation for copula parameter in SCOMDY models
- Time evolutions of copulas and foreign exchange markets
- Estimating Archimedean copulas in high dimensions
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