Statistical properties of parametric estimators for Markov chain vectors based on copula models

Journal of Statistical Planning and Inference

Volumn 140, Issue 6, 2010, Pages 1465-1480

  Yi, Wende ^a,b   Liao, Stephen Shaoyi ^c  

^a SOUTHWEST JIAOTONG UNIVERSITY   (China)

^b CHONGQING UNIVERSITY OF ARTS AND SCIENCES   (China)

^c CITY UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

3SPMLE; Asymptotic normality; Contemporaneous dependence; Copula; Temporal dependence

Indexed keywords

EID: 75749086308     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2009.12.002     Document Type: Article

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