Robust estimators and tests for bivariate copulas based on likelihood depth
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copulaGaussian copulaparametric estimationtestdata depthGumbel copulasimplicial depthlikelihood depthrobustness against contamination
Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)
Recommendations
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Cites work
- scientific article; zbMATH DE number 4054836 (Why is no real title available?)
- scientific article; zbMATH DE number 47948 (Why is no real title available?)
- scientific article; zbMATH DE number 3541764 (Why is no real title available?)
- scientific article; zbMATH DE number 194744 (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
- Comparison of semiparametric and parametric methods for estimating copulas
- Comparison of semiparametric maximum likelihood estimation and two-stage semiparametric estimation in copula models
- Depth estimators and tests based on the likelihood principle with application to regression
- Extending the rank likelihood for semiparametric copula estimation
- Extreme Financial Risks
- General notions of statistical depth function.
- Goodness-of-fit tests for copulas
- 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
- copula
Cited in
(10)- Consistency and robustness of tests and estimators based on depth
- A weighted localization of halfspace depth and its properties
- Consistency of the likelihood depth estimator for the correlation coefficient
- Estimation of Copulas via Maximum Mean Discrepancy
- Special issue on robust analysis of complex data
- Simplified simplicial depth for regression and autoregressive growth processes
- K-sign depth: from asymptotics to efficient implementation
- Tests based on simplicial depth for AR(1) models with explosion
- New robust tests for the parameters of the Weibull distribution for complete and censored data
- Robust Fits for Copula Models
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