Comparison of semiparametric and parametric methods for estimating copulas
From MaRDI portal
Publication:1019914
DOI10.1016/j.csda.2006.10.009zbMath1161.62364OpenAlexW2042557026MaRDI QIDQ1019914
Paramsothy Silvapulle, Gunky Kim, Mervyn J. Silvapullé
Publication date: 29 May 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2006.10.009
portfolio managementdependencepseudo maximum likelihoodcanonical maximum likelihoodinference function for margins
Related Items (67)
Accounting for endogeneity in regression models using copulas: a step-by-step guide for empirical studies ⋮ Nonparametric estimation of simplified vine copula models: comparison of methods ⋮ A semiparametric estimation of copula models based on the method of moments ⋮ ESTIMATORS BASED ON KENDALL'S TAU IN MULTIVARIATE COPULA MODELS ⋮ Modelling udder infection data using copula models for quadruples ⋮ Power-normal distribution ⋮ Parameter estimation of bivariate distributions in presence of outliers: an application to FGM copula ⋮ Trade and currency options hedging model ⋮ R‐vine models for spatial time series with an application to daily mean temperature ⋮ Smooth nonparametric Bernstein vine copulas ⋮ Robust estimators and tests for bivariate copulas based on likelihood depth ⋮ EM algorithms for estimating the Bernstein copula ⋮ Simulated Method of Moments Estimation for Copula-Based Multivariate Models ⋮ On some new dependence models derived from multivariate collective models in insurance applications ⋮ A note on upper-patched generators for Archimedean copulas ⋮ Large sample properties for a class of copulas in bivariate survival analysis ⋮ Estimating discrete Markov models from various incomplete data schemes ⋮ A Primer on Copulas for Count Data ⋮ Model robust inference with two-stage maximum likelihood estimation for copulas ⋮ An application of copulas to OPEC’s changing influence on fossil fuel prices ⋮ Truncated regular vines in high dimensions with application to financial data ⋮ Pair-copula constructions for non-Gaussian DAG models ⋮ Bayesian estimation of a bivariate copula using the Jeffreys prior ⋮ Conditional copulas, association measures and their applications ⋮ Comparison of semiparametric maximum likelihood estimation and two-stage semiparametric estimation in copula models ⋮ Non-parametric estimation of copula parameters: testing for time-varying correlation ⋮ Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks ⋮ A new class of copulas involved geometric distribution: estimation and applications ⋮ Efficient Bayesian inference for stochastic time-varying copula models ⋮ A goodness-of-fit test for bivariate extreme-value copulas ⋮ Parameter estimation for pair-copula constructions ⋮ Semiparametric estimation of conditional copulas ⋮ Comparison of estimators for pair-copula constructions ⋮ A new bivariate Archimedean copula with application to the evaluation of VaR ⋮ The bivariate generalized linear failure rate distribution and its multivariate extension ⋮ Statistical models and methods for dependence in insurance data ⋮ Three-stage semi-parametric estimation of \(t\)-copulas: asymptotics, finite-sample properties and computational aspects ⋮ Estimation of association parameters in copula models for bivariate left-truncated and right-censored data ⋮ Copula-based segmentation of cylindrical time series ⋮ Comparison of three semiparametric methods for estimating dependence parameters in copula models ⋮ STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY ⋮ On the estimation of Pareto fronts from the point of view of copula theory ⋮ Estimating the error distribution in multivariate heteroscedastic time-series models ⋮ Semiparametric multivariate density estimation for positive data using copulas ⋮ The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study ⋮ A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems ⋮ On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators ⋮ Inference in multivariate Archimedean copula models ⋮ Pair-copula constructions of multiple dependence ⋮ Copula selection for graphical models in continuous estimation of distribution algorithms ⋮ Copula-based score test for bivariate time-to-event data, with application to a genetic study of AMD progression ⋮ Likelihood ratio procedures and tests of fit in parametric and semiparametric copula models with censored data ⋮ Goodness-of-fit tests for copulas: A review and a power study ⋮ Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study ⋮ Quantifying the risk using copulae with nonparametric marginals ⋮ A mixture of regular vines for multiple dependencies ⋮ Mixture of D-vine copulas for modeling dependence ⋮ A semiparametric copula-based estimation of the regression function for right-censored data ⋮ Analysis of directional dependence using asymmetric copula-based regression models ⋮ Bayesian nonparametric estimation of a copula ⋮ Bayesian model selection for D-vine pair-copula constructions ⋮ Semiparametric estimation of copula models with nonignorable missing data ⋮ Unnamed Item ⋮ Copula model evaluation based on parametric bootstrap ⋮ Linear B-spline copulas with applications to nonparametric estimation of copulas ⋮ A new approach to measure systemic risk: a bivariate copula model for dependent censored data ⋮ A GLM Approach to Estimating Copula Models
Uses Software
Cites Work
- Common factors in conditional distributions for bivariate time series
- An introduction to copulas.
- Asymptotic efficiency of the two-stage estimation method for copula-based models
- On assessing the association for bivariate current status data
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Semiparametric estimation in copula models
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Comparison of semiparametric and parametric methods for estimating copulas
