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Document type:
Zeitschriftenaufsatz 
Author(s):
Dakovic, R., Czado, C. 
Title:
Comparing point and interval estimates in the bivariate t-copula model with application to financial data 
Abstract:
The paper considers joint maximum likelihood (ML) and semiparametric (SP) estimation of copula parameters in a bivariate t-copula. Analytical expressions for the asymptotic covariance matrix involving integrals over special functions are derived, which can be evaluated numerically. These direct evaluations of the Fisher information matrix are compared to Hessian evaluations based on nu- merical di®erentiation in a simulation study showing a satisfactory performance of the computation...    »
 
Keywords:
Fisher information, bivariate t- copula, Hessian, maximum likelihood, semiparametric estimation, efficiency 
Journal title:
Statistical Papers 
Year:
2011 
Journal volume:
52 
Year / month:
2011-08 
Journal issue:
Pages contribution:
709-731 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 09 
Format:
Text