Eckhard Liebscher (2009)
Kybernetika
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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.
Karol Dziedziul (2001)
Applicationes Mathematicae
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We prove the central limit theorem for the integrated square error of multivariate box-spline density estimators.
Karol Dziedziul, Piotr Paluszek (2010)
Applicationes Mathematicae
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The uniform approach to calculation of MISE for histogram and density box-spline estimators gives us a possibility to obtain estimators of derivatives of densities and the asymptotic constant.
Zbigniew Ciesielski, Ryszard Zieliński (2009)
Applicationes Mathematicae
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Dvoretzky-Kiefer-Wolfowitz type inequalities for some polynomial and spline estimators of distribution functions are constructed. Moreover, hints on the corresponding algorithms are given as well.
Kevin Jakob, Matthias Fischer (2014)
Dependence Modeling
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Without any doubt, credit risk is one of the most important risk types in the classical banking industry. Consequently, banks are required by supervisory audits to allocate economic capital to cover unexpected future credit losses. Typically, the amount of economical capital is determined with a credit portfolio model, e.g. using the popular CreditRisk+ framework (1997) or one of its recent generalizations (e.g. [8] or [15]). Relying on specific distributional assumptions, the credit...
Abderrahmane Chakak, Layachi Imlahi (2001)
RACSAM
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Sea (X, X) un vector aleatorio con una función de distribución F. La transformación integral de la probabilidad (pit) es la variable aleatoria unidimensional P = F(X, X). La expresion de su función de distribución, y un algoritmo de simulación en términos de la función cuantil, dada por Chakak et al [2000], cuando la distribución es absolumente continua, son extendidas a distribuciones que pueden tener singularidades. La estimación de máxima verosimilitud del parámetro de dependencia...
Ciesielski, Zbigniew, Kamont, Anna (1999)
Mathematica Pannonica
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Piotr Jaworski (2017)
Dependence Modeling
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The paper deals with the family of irreducible left truncation invariant bivariate copulas, which admit a nontrivial lower tail dependence function. Such copulas, similarly as the Archimedean ones, are characterized by a functional parameter, a generator being an increasing convex function.We provide a nonparametric, piece-wise linear estimator of such generators.
Piotr Jaworski (2017)
Dependence Modeling
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The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning event becomes more extreme. The results are illustrated with examples using the extreme value, conic and truncation invariant families of bivariate tail-dependent copulas.
Salim Bouzebda, Amor Keziou (2010)
Kybernetika
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We introduce new estimates and tests of independence in copula models with unknown margins using -divergences and the duality technique. The asymptotic laws of the estimates and the test statistics are established both when the parameter is an interior or a boundary value of the parameter space. Simulation results show that the choice of -divergence has good properties in terms of efficiency-robustness.
Frederik Michiels, Ann De Schepper (2008)
Kybernetika
Similarity:
We introduce and discuss the test space problem as a part of the whole copula fitting process. In particular, we explain how an efficient copula test space can be constructed by taking into account information about the existing dependence, and we present a complete overview of bivariate test spaces for all possible situations. The practical use will be illustrated by means of a numerical application based on an illustrative portfolio containing the S&P 500 Composite Index, the JP...