Estimating Archimedean Copulas in High Dimensions

DOI10.1111/j.1467-9469.2012.00803.xzbMath1323.62046OpenAlexW2141668050MaRDI QIDQ2914946

Christian Hering, Ulrich Stadtmüller

Publication date: 21 September 2012

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2012.00803.x

zbMATH Keywords

estimationconsistencytransformationminimum distance estimatorArchimedean copulas

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Distributionally robust fixed interval scheduling on parallel identical machines under uncertain finishing times, Inference on Archimedean copulas using mixtures of Pólya trees, On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence

Uses Software

• R
• QRM
• copula

Cites Work

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• The Minimum Distance Method
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Bivariate Survival Models Induced by Frailties
• Probability: A Graduate Course
• Families of Multivariate Distributions
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Robust Fits for Copula Models
• Simulating from Exchangeable Archimedean Copulas
• On the multivariate probability integral transformation