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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Czado, C., Zhang, R., Min, A. 
Titel:
Efficient maximum likelihood estimation of copula based meta t-distributions 
Abstract:
Recently an eficient fixed point algorithm for finding maximum likelihood estimates has found its application in models based on Gaussian copulas. It requires a decomposition of a likelihood function into two parts and their iterative maximization. Therefore, this algorithm is called maximization by parts (MBP). For copula-based models, the algorithm MBP improves the eficiency of a two-step estimation approach called inference for margins (IFM) and is an promising alternative method to...    »
 
Stichworte:
Copula, inference for margins, maximum likelihood estimation, maximization by parts, meta-t distribution, rolling windows 
Zeitschriftentitel:
Computational Statistics and Data Analysis 
Jahr:
2011 
Band / Volume:
55 
Jahr / Monat:
2011-03 
Heft / Issue:
Seitenangaben Beitrag:
1196–1214 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 09 
Format:
Text