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- Publisher Website: 10.1017/asb.2013.6
- Scopus: eid_2-s2.0-84879356121
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Article: Statistical inference for copulas in high dimensions: A simulation study
| Title | Statistical inference for copulas in high dimensions: A simulation study |
|---|---|
| Authors | |
| Keywords | confidence intervals high dimensions inference functions for margins Kendall's tau estimator Maximum likelihood estimator maximum pseudo-likelihood estimator |
| Issue Date | 2013 |
| Citation | ASTIN Bulletin, 2013, v. 43, n. 2, p. 81-95 How to Cite? |
| Abstract | Abstract Statistical inference for copulas has been addressed in various research papers. Due to the complicated theoretical results, studies have been carried out mainly in the bivariate case, be it properties of estimators or goodness-of-fit tests. However, from a practical point of view, higher dimensions are of interest. This work presents the results of large-scale simulation studies with particular focus on the question to what extent dimensionality influences point and interval estimators. © 2013 by Astin Bulletin. |
| Persistent Identifier | http://hdl.handle.net/10722/325666 |
| ISSN | 2023 Impact Factor: 1.7 2023 SCImago Journal Rankings: 0.979 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Embrechts, Paul | - |
| dc.contributor.author | Hofert, Marius | - |
| dc.date.accessioned | 2023-02-27T07:35:14Z | - |
| dc.date.available | 2023-02-27T07:35:14Z | - |
| dc.date.issued | 2013 | - |
| dc.identifier.citation | ASTIN Bulletin, 2013, v. 43, n. 2, p. 81-95 | - |
| dc.identifier.issn | 0515-0361 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/325666 | - |
| dc.description.abstract | Abstract Statistical inference for copulas has been addressed in various research papers. Due to the complicated theoretical results, studies have been carried out mainly in the bivariate case, be it properties of estimators or goodness-of-fit tests. However, from a practical point of view, higher dimensions are of interest. This work presents the results of large-scale simulation studies with particular focus on the question to what extent dimensionality influences point and interval estimators. © 2013 by Astin Bulletin. | - |
| dc.language | eng | - |
| dc.relation.ispartof | ASTIN Bulletin | - |
| dc.subject | confidence intervals | - |
| dc.subject | high dimensions | - |
| dc.subject | inference functions for margins | - |
| dc.subject | Kendall's tau estimator | - |
| dc.subject | Maximum likelihood estimator | - |
| dc.subject | maximum pseudo-likelihood estimator | - |
| dc.title | Statistical inference for copulas in high dimensions: A simulation study | - |
| dc.type | Article | - |
| dc.description.nature | link_to_subscribed_fulltext | - |
| dc.identifier.doi | 10.1017/asb.2013.6 | - |
| dc.identifier.scopus | eid_2-s2.0-84879356121 | - |
| dc.identifier.volume | 43 | - |
| dc.identifier.issue | 2 | - |
| dc.identifier.spage | 81 | - |
| dc.identifier.epage | 95 | - |
| dc.identifier.eissn | 1783-1350 | - |
| dc.identifier.isi | WOS:000341996300002 | - |