Title Parameter estimation for pair-copula constructions

  title={Title Parameter estimation for pair-copula constructions},
  author={Ingrid Hob{\ae}k Haff},
We explore various estimators for the parameters of a pair-copula construction (PCC), among those the stepwise semiparametric (SSP) estimator, designed for this dependence structure. We present its asymptotic properties, as well as the estimation algorithm for the two most common types of PCCs. Compared to the considered alternatives, i.e. maximum likelihood, inference functions for margins and semiparametric estimation, SSP is in general asymptotically less efficient. As we show in an example… CONTINUE READING


Publications referenced by this paper.
Showing 1-10 of 33 references

Semiparametric estimation of copula models

  • H. Tsukahara
  • The Canadian Journal of Statistics,
  • 2005
Highly Influential
9 Excerpts

Multivariate copula models at work: Outperforming the "desert island copula"? Technical Report 79, Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie

  • M. Fischer, C. Köck, S. Schlüter, F. Weigert
  • 2007
Highly Influential
5 Excerpts

Asymptotic efficiency of the two-stage estimation method for copula-based models

  • H. Joe
  • Journal of Multivariate Analysis,
  • 2005
Highly Influential
8 Excerpts

Elements of Large-Sample Theory

  • E. Lehmann
  • 2004
Highly Influential
4 Excerpts

Multivariate Models and Dependence Concepts

  • H. Joe
  • 1997
Highly Influential
9 Excerpts

Distributions with Fixed Marginals and Related Topics, chapter Families of m-variate distributions with given margins and m(m-1)/2 dependence parameters

  • H. Joe
  • 1996
Highly Influential
6 Excerpts

Similar Papers

Loading similar papers…