Title Parameter estimation for pair-copula constructions

@inproceedings{Haff2010TitlePE,
  title={Title Parameter estimation for pair-copula constructions},
  author={Ingrid Hob{\ae}k Haff},
  year={2010}
}
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

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