An algorithm for constructing high dimensional distributions from distributions of lower dimension

DOI10.1016/j.econlet.2014.02.022zbMath1293.62163OpenAlexW2099706623MaRDI QIDQ397919

Mohammad Hasan, H. S. Yoon

Publication date: 12 August 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.02.022

zbMATH Keywords

copulaspseudo-likelihoodmultivariate distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Sequential estimation (62L12)

Related Items (2)

Estimation of hierarchical Archimedean copulas as a shortest path problem ⋮ Kernel Bayesian ART and ARTMAP

Cites Work

• Unnamed Item
• Pair-copula constructions of multiple dependence
• Optimal prediction pools
• An introduction to copulas.
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas
• A note on pseudolikelihood constructed from marginal densities
• Some advances in the study of the compatibility of three bivariate copulas
• Dependence structures for multivariate high-frequency data in finance
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Simulated Method of Moments Estimation for Copula-Based Multivariate Models
• Composite likelihood estimation in multivariate data analysis

This page was built for publication: An algorithm for constructing high dimensional distributions from distributions of lower dimension