Comparison of three semiparametric methods for estimating dependence parameters in copula models

Insurance: Mathematics and Economics

Volumn 47, Issue 1, 2010, Pages 52-63

  Kojadinovic, Ivan ^a   Yan, Jun ^b  

^a UNIVERSITY OF AUCKLAND   (New Zealand)

^b UNIVERSITY OF CONNECTICUT   (United States)

Author keywords

Asymptotic relative efficiency; Kendall's tau; Numerical approximation; Pseudo likelihood; Pseudo observations; Ranks; Spearman's rho

Indexed keywords

EID: 77953288433     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2010.03.008     Document Type: Article

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