Maximum-likelihood estimation for the multivariate Sarmanov distribution: simulation study

DOI10.1080/00207160.2013.770148zbMath1291.62080OpenAlexW2064173670MaRDI QIDQ5416442

Raluca Vernic, Elena Pelican

Publication date: 20 May 2014

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2013.770148

zbMATH Keywords

method of momentsSarmanov distributiondata simulationparameters estimationmaximum-likelihood method

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05) Random number generation in numerical analysis (65C10)

Related Items (6)

On the distribution of a sum of Sarmanov distributed random variables ⋮ Recent developments on the construction of bivariate distributions with fixed marginals ⋮ Conditional tail expectation of randomly weighted sums with heavy-tailed distributions ⋮ The loss given default of a low-default portfolio with weak contagion ⋮ A class of mixture models for multidimensional ordinal data ⋮ Capital allocation for Sarmanov's class of distributions

Cites Work

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• The net Bayes premium with dependence between the risk profiles
• TVaR-based capital allocation with copulas
• An introduction to copulas.
• On Maximum Attainable Correlation and Other Measures of Dependence for the Sarmanov Family of Bivariate Distributions
• Probability distributions with given multivariate marginals
• Properties and applications of the sarmanov family of bivariate distributions
• Proof of the Ergodic Theorem

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