Semiparametric estimation of the parameters of multivariate copulas

Eckhard Liebscher

Kybernetika (2009)

  • Volume: 45, Issue: 6, page 972-991
  • ISSN: 0023-5954

Abstract

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In the paper we investigate properties of maximum pseudo-likelihood estimators for the copula density and minimum distance estimators for the copula. We derive statements on the consistency and the asymptotic normality of the estimators for the parameters.

How to cite

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Liebscher, Eckhard. "Semiparametric estimation of the parameters of multivariate copulas." Kybernetika 45.6 (2009): 972-991. <http://eudml.org/doc/37680>.

@article{Liebscher2009,
abstract = {In the paper we investigate properties of maximum pseudo-likelihood estimators for the copula density and minimum distance estimators for the copula. We derive statements on the consistency and the asymptotic normality of the estimators for the parameters.},
author = {Liebscher, Eckhard},
journal = {Kybernetika},
keywords = {multivariate density estimation; copula; maximum likelihood estimators; minimum distance estimators; copula; multivariate density estimation; maximum likelihood estimators; minimum distance estimators},
language = {eng},
number = {6},
pages = {972-991},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Semiparametric estimation of the parameters of multivariate copulas},
url = {http://eudml.org/doc/37680},
volume = {45},
year = {2009},
}

TY - JOUR
AU - Liebscher, Eckhard
TI - Semiparametric estimation of the parameters of multivariate copulas
JO - Kybernetika
PY - 2009
PB - Institute of Information Theory and Automation AS CR
VL - 45
IS - 6
SP - 972
EP - 991
AB - In the paper we investigate properties of maximum pseudo-likelihood estimators for the copula density and minimum distance estimators for the copula. We derive statements on the consistency and the asymptotic normality of the estimators for the parameters.
LA - eng
KW - multivariate density estimation; copula; maximum likelihood estimators; minimum distance estimators; copula; multivariate density estimation; maximum likelihood estimators; minimum distance estimators
UR - http://eudml.org/doc/37680
ER -

References

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