Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspectsстатья
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Дата последнего поиска статьи во внешних источниках: 7 декабря 2013 г.
Автор:
Fantazzini D.
Журнал:
Computational Statistics and Data Analysis
Том:
54
Номер:
11
Год издания:
2010
Издательство:
Elsevier BV
Местоположение издательства:
Netherlands
Первая страница:
2562
Последняя страница:
2579
DOI:
10.1016/j.csda.2009.02.004
Аннотация:
A two-stage semi-parametric estimation procedure for a broad class of copulas satisfying minimal regularity conditions has been recently proposed. In addition, a three-stage semi-parametric estimation method based on Kendall’s tau in order to estimate the Student’s t copula has also been designed. Its major advantage is to allow for greater computational tractability when dealing with high dimensional issues, where two-stage procedures are no more a viable choice. The asymptotic properties of this methodology are developed and its finite-sample behavior are examined via simulations. The advantages and disadvantages of this methodology are analyzed in terms of numerical convergence and positive definiteness of the estimated T-copula correlation matrix. В© 2009 Elsevier B.V. All rights reserved.
Добавил в систему:
Фантаццини Деан c.