Robust estimation for copula parameter in SCOMDY models

DOI10.1111/JTSA.12013MaRDI QIDQ2852593zbMATH OpenOpenAlexFDO

Authors Byungsoo Kim, Sangyeol Lee

Publication date 9 October 2013

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12013

zbMATH Keywords

asymptotic normalityconsistencydensity-based divergence measuresrobust estimation for copula parameterSCOMDY model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Asymptotic Normality of Nonparametric Tests for Independence
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Minimum Hellinger Distance Estimation for Multivariate Location and Covariance
• Minimum Hellinger Distance Estimation for the Analysis of Count Data
• Minimum Hellinger distance estimates for parametric models
• Minimum density power divergence estimator for GARCH models
• Minimum disparity estimation for continuous models: Efficiency, distributions and robustness
• Minimum distance density-based estimation
• Robust and efficient estimation by minimising a density power divergence
• Robust estimation for the covariance matrix of multi-variate time series
• Robust estimation in the normal mixture model
• Statistical inference for multivariate residual copula of GARCH models

Cited in

(8)

• Estimation of Copulas via Maximum Mean Discrepancy
• Robust estimation for bivariate integer-valued autoregressive models based on minimum density power divergence
• Minimum Hellinger distance estimation for bivariate samples and time series with applications to nonlinear regression and copula-based models
• Robust feature screening for elliptical copula regression model
• Robust Fits for Copula Models
• Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test
• A Study on Robustness in the Optimal Design of Experiments for Copula Models
• Goodness-of-fit test of copula functions for semi-parametric univariate time series models

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