Robust estimators and tests for bivariate copulas based on likelihood depth

DOI10.1016/j.csda.2011.04.005zbMath1464.62057OpenAlexW2002239422MaRDI QIDQ1658326

Christine H. Müller, Liesa Denecke

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

copulasimplicial depthGaussian copulatestdata depthparametric estimationGumbel copulalikelihood depthrobustness against contamination

Mathematics Subject Classification ID

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

Related Items

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

Uses Software

• R
• alr3
• copula
• copula

Cites Work

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