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Document type:
Zeitschriftenaufsatz 
Author(s):
Schepsmeier, U., and Stöber, J. 
Title:
Derivatives and Fisher information of bivariate copulas 
Abstract:
We provide the first and second derivatives of (log-) densities and conditional distribution functions of various bivariate copulas. These derivatives are required in order to calculate e.g. the observed Fisher information in multivariate models based on bivariate copulas. In particular, we obtain all derivatives for the bivariate t-copula, which have not been available until now. All derivatives are implemented in the R package VineCopula, and we demonstrate the accuracy of our...    »
 
Keywords:
Copula, Fisher Information, derivatives 
Journal title:
Statistical Papers 
Year:
2014 
Journal volume:
55 
Year / month:
2014-05 
Journal issue:
Pages contribution:
525-542 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text