Comparison of non-nested models under a general measure of distance

DOI10.1016/j.jspi.2015.10.004zbMath1328.62101OpenAlexW2180311227MaRDI QIDQ899371

Chi Tim Ng, Joe, Harry

Publication date: 28 December 2015

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2015.10.004

zbMATH Keywords

copulacomposite likelihoodmodel misspecificationmodel comparisonlarge deviation theory

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

Uses Software

• VineCopula
• CopulaModel

Cites Work

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• Truncated regular vines in high dimensions with application to financial data
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• Likelihood-Based Inference for Max-Stable Processes

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