Estimation and inference for dependence in multivariate data

Journal of Multivariate Analysis

Volumn 101, Issue 4, 2010, Pages 869-881

  Bodnar, Olha ^a   Bodnar, Taras ^a   Gupta, Arjun K ^b  

^a EUROPEAN UNIVERSITY VIADRINA   (Germany)

^b BOWLING GREEN STATE UNIVERSITY   (United States)

Author keywords

Correlation matrix; Estimation and inference procedure; Gaussian copula; Multivariate copula; Multivariate non normal distribution; Pseudo maximum likelihood method; Test of independence

Indexed keywords

EID: 74449090640     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2009.11.005     Document Type: Article

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