Empirical likelihood based confidence intervals for copulas

DOI10.1016/j.jmva.2008.04.005zbMath1151.62037OpenAlexW2009214783MaRDI QIDQ958913

Liang Peng, Jian Chen, Yichuan Zhao

Publication date: 10 December 2008

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.04.005

zbMATH Keywords

copulaconfidence intervalnormal approximationempirical likelihood

Mathematics Subject Classification ID

Related Items (20)

Jackknife empirical likelihood inference for the Pietra ratio ⋮ Empirical likelihood inference for the mean past lifetime function ⋮ Smoothed jackknife empirical likelihood for the one-sample difference of quantiles ⋮ Smoothed jackknife empirical likelihood for the difference of two quantiles ⋮ Empirical likelihood for linear transformation models with interval-censored failure time data ⋮ Smoothed empirical likelihood inference for the difference of two quantiles with right censoring ⋮ Smoothed jackknife empirical likelihood method for tail copulas ⋮ Empirical likelihood confidence bands for mean functions of recurrent events with competing risks and a terminal event ⋮ Jackknife empirical likelihood method for copulas ⋮ Empirical likelihood inference for Haezendonck-Goovaerts risk measure ⋮ Weighted estimation of the dependence function for an extreme-value distribution ⋮ Jackknife empirical likelihood method for some risk measures and related quantities ⋮ Statistical models and methods for dependence in insurance data ⋮ Smoothed jackknife empirical likelihood inference for ROC curves with missing data ⋮ Smoothed jackknife empirical likelihood method for ROC curve ⋮ Combining least-squares and quantile regressions ⋮ Inference for Cox's regression models via adjusted empirical likelihood ⋮ Reduce computation in profile empirical likelihood method ⋮ Efficient estimation of copula-based semiparametric Markov models ⋮ Jackknife empirical likelihood for parametric copulas

Uses Software

• QRM

Cites Work

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