Robust estimators and tests for bivariate copulas based on likelihood depth

DOI10.1016/J.CSDA.2011.04.005MaRDI QIDQ1658326zbMATH OpenOpenAlexFDO

Authors Liesa Denecke, Christine H. Müller

Publication date 14 August 2018

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

Full work available at URL https://doi.org/10.1016/j.csda.2011.04.005

zbMATH Keywords

copuladata depthGaussian copulaGumbel copulalikelihood depthparametric estimationrobustness against contaminationsimplicial depthtest

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Robustness and adaptive procedures (parametric inference) (62F35) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• Consistency and robustness of tests and estimators based on depth
• Consistency of the likelihood depth estimator for the correlation coefficient
• Robust Fits for Copula Models
• Depth estimators and tests based on the likelihood principle with application to regression
• New robust tests for the parameters of the Weibull distribution for complete and censored data

Cites work

• A nonparametric estimation procedure for bivariate extreme value copulas
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Comparison of semiparametric and parametric methods for estimating copulas
• Comparison of semiparametric maximum likelihood estimation and two-stage semiparametric estimation in copula models
• copula
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• Extreme Financial Risks
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• Goodness-of-fit tests for copulas
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• scientific article; zbMATH DE number 194744 (Why is no real title available?)
• Location–Scale Depth
• On a notion of data depth based on random simplices
• On a notion of simplicial depth
• On depth and deep points: A calculus.
• Regression Depth
• Statistical Tools for Finance and Insurance
• Structural properties and convergence results for contours of sample statistical depth functions.
• Testing Goodness of Fit for Parametric Families of Copulas—Application to Financial Data
• Two-stage estimation in copula models used in family studies
• Weak convergence and empirical processes. With applications to statistics

Cited in

(10)

• Special issue on robust analysis of complex data
• K-sign depth: from asymptotics to efficient implementation
• A weighted localization of halfspace depth and its properties
• Consistency of the likelihood depth estimator for the correlation coefficient
• Simplified simplicial depth for regression and autoregressive growth processes
• Tests based on simplicial depth for AR(1) models with explosion
• Consistency and robustness of tests and estimators based on depth
• New robust tests for the parameters of the Weibull distribution for complete and censored data
• Robust Fits for Copula Models
• Estimation of Copulas via Maximum Mean Discrepancy

Describes a project that uses

Uses Software

• R
• alr3
• copula
• copula

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