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Robust Estimation For Copula Parameter In Scomdy Models
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Book Synopsis Robust Estimation for Copula Parameter in SCOMDY Models by : Byungsoo Kim
Download or read book Robust Estimation for Copula Parameter in SCOMDY Models written by Byungsoo Kim and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we study the robust estimation for the copula parameter in semiparametric copula-based multivariate dynamic (SCOMDY) models proposed by Chen and Fan (2006). To this end, instead of the pseudo maximum likelihood estimator in Chen and Fan (2006), we use a minimum density power divergence estimator (MDPDE) proposed by Basu et al. (1998). It is shown that the MDPDE is consistent and asymptotically normal under regularity conditions. We compare the performance between the two estimators when outliers exist through a simulation study.
Book Synopsis Copula Modeling by : Pravin K. Trivedi
Download or read book Copula Modeling written by Pravin K. Trivedi and published by Now Publishers Inc. This book was released on 2007 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: Copula Modeling explores the copula approach for econometrics modeling of joint parametric distributions. Copula Modeling demonstrates that practical implementation and estimation is relatively straightforward despite the complexity of its theoretical foundations. An attractive feature of parametrically specific copulas is that estimation and inference are based on standard maximum likelihood procedures. Thus, copulas can be estimated using desktop econometric software. This offers a substantial advantage of copulas over recently proposed simulation-based approaches to joint modeling. Copulas are useful in a variety of modeling situations including financial markets, actuarial science, and microeconometrics modeling. Copula Modeling provides practitioners and scholars with a useful guide to copula modeling with a focus on estimation and misspecification. The authors cover important theoretical foundations. Throughout, the authors use Monte Carlo experiments and simulations to demonstrate copula properties
Book Synopsis Robust Estimation in Simultaneous Equations Models by : Ricardo A. Maronna
Download or read book Robust Estimation in Simultaneous Equations Models written by Ricardo A. Maronna and published by . This book was released on 1994 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Copulas and Dependence Models with Applications by : Manuel Úbeda Flores
Download or read book Copulas and Dependence Models with Applications written by Manuel Úbeda Flores and published by Springer. This book was released on 2017-10-13 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the latest findings in the area with emphasis on “classical” topics like distributions with fixed marginals, measures of association, construction of copulas with given additional information, etc. The book celebrates the 75th birthday of Professor Roger B. Nelsen and his outstanding contribution to the development of copula theory. Most of the book’s contributions were presented at the conference “Copulas and Their Applications” held in his honor in Almería, Spain, July 3-5, 2017. The chapter 'When Gumbel met Galambos' is published open access under a CC BY 4.0 license.
Book Synopsis Robust Estimation for GARCH Models and VARMA Models by : Hang Liu
Download or read book Robust Estimation for GARCH Models and VARMA Models written by Hang Liu and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Algorithms for Robust Estimation in Unobserved Components Time Series Models by : Bengt Ringnér
Download or read book Algorithms for Robust Estimation in Unobserved Components Time Series Models written by Bengt Ringnér and published by . This book was released on 1989 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimation of Copula Models for Time Series of Possibly Different Lenghts by : Andrew J. Patton
Download or read book Estimation of Copula Models for Time Series of Possibly Different Lenghts written by Andrew J. Patton and published by . This book was released on 2001 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimation of Copula Models for Time Series of Possibly Different Lengths by : Andrew Patton
Download or read book Estimation of Copula Models for Time Series of Possibly Different Lengths written by Andrew Patton and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Robust Tail Parameter Estimation by : Manuela Schaller
Download or read book On Robust Tail Parameter Estimation written by Manuela Schaller and published by . This book was released on 2005 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimation and Goodness-of-Fit for Regime-Switching Copula Models with Application to Option Pricing by : Bouchra R. Nasri
Download or read book Estimation and Goodness-of-Fit for Regime-Switching Copula Models with Application to Option Pricing written by Bouchra R. Nasri and published by . This book was released on 2019 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider several time series and for each of them, we fit an appropriate dynamic parametric model. This produces serially independent error terms for each time series. The dependence between these error terms is then modeled by a regime-switching copula. The EM algorithm is used for estimating the parameters and a sequential goodness-of-fit procedure based on Cramér-von Mises statistics is proposed to select the appropriate number of regimes. Numerical experiments are performed to assess the validity of the proposed methodology. As an example of application, we evaluate a European put-on-max option on the returns of two assets. In order to facilitate the use of our methodology, we have built a R package HMMcopula available on CRAN.
Book Synopsis Nonparametric Estimation and Inference for the Copula Parameter in Conditional Copulas by : Elif Fidan Acar
Download or read book Nonparametric Estimation and Inference for the Copula Parameter in Conditional Copulas written by Elif Fidan Acar and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Semiparametric Estimation of Copula Parameters by : Gunky Kim
Download or read book Semiparametric Estimation of Copula Parameters written by Gunky Kim and published by . This book was released on 2008 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two-stage Estimation in Copula Models Used in Family Studies by : Elisabeth Wreford Andersen
Download or read book Two-stage Estimation in Copula Models Used in Family Studies written by Elisabeth Wreford Andersen and published by . This book was released on 2000 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal and Robust Estimation on the Sphere by : G. S. Watson
Download or read book Optimal and Robust Estimation on the Sphere written by G. S. Watson and published by . This book was released on 1983 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Report written by Gao Li and published by . This book was released on 1987 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Analyses and Robust Algorithms in the Membership-set Parameter Estimation by : Hyonyong Cho
Download or read book Analyses and Robust Algorithms in the Membership-set Parameter Estimation written by Hyonyong Cho and published by . This book was released on 1998 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Comparison of Classical and Robust Methods of Parameter Estimation by : Peter James Kelly
Download or read book A Comparison of Classical and Robust Methods of Parameter Estimation written by Peter James Kelly and published by . This book was released on 1988 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
