Effective estimation algorithm for parameters of multivariate Farlie-Gumbel-Morgenstern copula

DOI10.1007/s42081-021-00118-yzbMath1478.62113OpenAlexW3156308486MaRDI QIDQ2068951

Shuhei Ota, Mitsuhiro Kimura

Publication date: 20 January 2022

Published in: Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42081-021-00118-y

zbMATH Keywords

asymptotic normalitymaximum likelihood estimationmultivariate distributionFGM copulainference functions for margins

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Reliability and life testing (62N05)

Related Items (11)

Stochastic representation of FGM copulas using multivariate Bernoulli random variables ⋮ Exchangeable FGM copulas ⋮ A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions ⋮ A test for normality and independence based on characteristic function ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Special feature: Recent statistical methods for survival analysis ⋮ Multivariate failure time distributions derived from shared frailty and copulas ⋮ Assessing the numerical integration of dynamic prediction formulas using the exact expressions under the joint frailty-copula model

Uses Software

• CopulaModel

Cites Work

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• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Dependence Modeling with Copulas
• Bivariate Exponential Distributions
• The performance of some correlation coefficients for a general bivariate distribution
• Properties of Coherent Systems with Dependent Components
• On some generalized farlie-gumbel-morgenstern distributions
• On some generalized farlie-gumbel-morgenstern distributions-II regression, correlation and further generalizations
• Estimation of a common mean vector in bivariate meta-analysis under the FGM copula

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