• Mathematics
  • Published 2013

Estimators for Archimedean copulas in high dimensions

  title={Estimators for Archimedean copulas in high dimensions},
  author={Marius Hofert and Martin M{\"a}chler and Alexander J. McNeil},
The performance of known and new parametric estimators for Archimedean copulas is investigated, with special focus on large dimensions and numerical diculties. In particular, method-of-moments-like estimators based on pairwise Kendall’s tau, a multivariate extension of Blomqvist’s beta, minimum distance estimators, the maximum-likelihood estimator, a simulated maximum-likelihood estimator, and a maximum-likelihood estimator based on the copula diagonal are studied. Their performance is compared… CONTINUE READING
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