Comparing point and interval estimates in the bivariate \(t\)-copula model with application to financial data

DOI10.1007/S00362-009-0279-8zbMath1230.62028OpenAlexW2022581469MaRDI QIDQ641791

Claudia Czado, Rada Dakovic

Publication date: 25 October 2011

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-009-0279-8

zbMATH Keywords

efficiencyHessianFisher informationmaximum likelihoodsemiparametric estimationbivariate \(t\)-copula

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09)

Related Items (4)

A Legendre multiwavelets approach to copula density estimation ⋮ Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas ⋮ A Compendium of Copulas ⋮ Jackknife empirical likelihood for parametric copulas

Uses Software

• LBFGS-B
• QRM
• bootstrap

Cites Work

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• Pair-copula constructions of multiple dependence
• Bayesian copulae distributions, with application to operational risk management
• On nonparametric measures of dependence for random variables
• Ordinal Measures of Association
• The t Copula and Related Copulas
• Multivariate T-Distributions and Their Applications
• A Limited Memory Algorithm for Bound Constrained Optimization

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