Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection

Canadian Journal of Statistics

Volumn 33, Issue 3, 2005, Pages 389-414

  Chen, Xiaohong ^a   Fan, Yanqin ^b  

^a NEW YORK UNIVERSITY   (United States)

^b VANDERBILT UNIVERSITY   (United States)

Author keywords

Bootstrap; Copula; Model misspecification; Nonnested hypothesis; Pseudo likelihood ratio test

Indexed keywords

EID: 27744551283     PISSN: 03195724     EISSN: None     Source Type: Journal    
DOI: 10.1002/cjs.5540330306     Document Type: Conference Paper

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