Likelihood inference for Archimedean copulas in high dimensions under known margins

Journal of Multivariate Analysis

Volumn 110, Issue , 2012, Pages 133-150

  Hofert, Marius ^a   Mächler, Martin ^a   McNeil, Alexander J ^b  

^a ETH ZURICH   (Switzerland)

^b HERIOT WATT UNIVERSITY   (United Kingdom)

Author keywords

Archimedean copulas; Confidence intervals; Maximum likelihood estimation; Multi parameter families

Indexed keywords

EID: 84862024946     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2012.02.019     Document Type: Article

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