Efficient maximum likelihood estimation of copula based meta \(t\)-distributions

DOI10.1016/j.csda.2010.09.027zbMath1328.65049OpenAlexW2006620219MaRDI QIDQ901485

N. E. Zubov

Publication date: 12 January 2016

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.09.027

zbMATH Keywords

copulamaximum likelihood estimationinference for marginsmaximization by partsmeta-\(t\) distributionrolling windows

Mathematics Subject Classification ID

Related Items (4)

A new class of copulas involved geometric distribution: estimation and applications ⋮ A SIMPLE ITERATIVE Z-ESTIMATOR FOR SEMIPARAMETRIC MODELS ⋮ Detection of heterogeneous structures on the Gaussian copula model using projective power entropy ⋮ A mixed copula model for insurance claims and claim sizes

Uses Software

• R
• MASS (R)
• LBFGS-B

Cites Work

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