Robust Fits for Copula Models

DOI10.1080/03610910701539708zbMath1126.62017OpenAlexW2031884856MaRDI QIDQ5436418

Roger B. Nelsen, Eduardo Fraga L. de Melo, Beatriz Vaz de Melo Mendes

Publication date: 16 January 2008

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11422/9854

zbMATH Keywords

robust estimationminimum distance estimatorsempirical copulas\(\varepsilon \)-contaminated distributions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

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Estimating Archimedean Copulas in High Dimensions, Time evolutions of copulas and foreign exchange markets, Estimation of Copulas via Maximum Mean Discrepancy, Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study, New estimates and tests of independence in some copula models

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