Robust estimation for copula Parameter in SCOMDY models

DOI10.1111/jtsa.12013zbMath1288.62047OpenAlexW1857757119MaRDI QIDQ2852593

Sangyeol Lee, Byungsoo Kim

Publication date: 9 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12013

zbMATH Keywords

consistencyasymptotic normalitydensity-based divergence measuresrobust estimation for copula parameterSCOMDY model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (5)

Minimum Hellinger distance estimation for bivariate samples and time series with applications to nonlinear regression and copula-based models ⋮ Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test ⋮ Robust estimation for bivariate integer-valued autoregressive models based on minimum density power divergence ⋮ Estimation of Copulas via Maximum Mean Discrepancy ⋮ Goodness-of-fit test of copula functions for semi-parametric univariate time series models

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