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Document type:
Zeitschriftenaufsatz 
Author(s):
Czado, C., Zhang, R., Min, A. 
Title:
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...    »
 
Keywords:
Copula, inference for margins, maximum likelihood estimation, maximization by parts, meta-t distribution, rolling windows 
Journal title:
Computational Statistics and Data Analysis 
Year:
2011 
Journal volume:
55 
Year / month:
2011-03 
Journal issue:
Pages contribution:
1196–1214 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 09 
Format:
Text