Model robust inference with two-stage maximum likelihood estimation for copulas-Reference-Cited by-同舟云学术

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Model robust inference with two-stage maximum likelihood estimation for copulas

Published:2019-05 Issue: Volume:171 Page:362-381
ISSN:0047-259X
Container-title:Journal of Multivariate Analysis
language:en
Short-container-title:Journal of Multivariate Analysis

Author:

Ko Vinnie,Hjort Nils Lid^ORCID

Funder

Norwegian Research Council

Department of Mathematics at the University of Oslo, Norway

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference39 articles.

1. Models for construction of multivariate dependence: A comparison study;Aas;Eur. J. Finance,2009

2. Pair-copula constructions of multiple dependence;Aas;Insurance Math. Econom.,2009

3. Statistical testing of covariate effects in conditional copula models;Acar;Electron. J. Statist.,2013

4. Composite likelihood and two-stage estimation in family studies;Andersen;Biostatistics,2004

5. Two-stage estimation in copula models used in family studies;Andersen;Lifetime Data Anal.,2005

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