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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Zhang, R.; Czado, C.; Min, A. 
Nicht-TUM Koautoren:
nein 
Kooperation:
Titel:
Efficient maximum likelihood estimation of copula based meta t-distributions 
Abstract:
Recently an efficient fixed point algorithm, called maximization by parts (MBP), for finding maximum likelihood estimates has been applied to models based on Gaussian copulas. It requires a decomposition of a likelihood function into two parts and their iterative maximization by solving score equations. For the first time, the MBP algorithm is applied to multivariate meta t- distributions based on t-copulas. Since score equations for meta t-distributions do not have closed forms the proposed MBP...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Computational Statistics and Data Analysis 
Jahr:
2011 
Band / Volume:
55 
Heft / Issue:
Seitenangaben Beitrag:
1196-1214 
Reviewed:
ja 
Sprache:
de 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Nein 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein