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Document type:
Zeitschriftenaufsatz 
Author(s):
Hering, C.; Mai, J.-F. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Moment-based estimation of extendible Marshall-Olkin copulas 
Abstract:
Associated with any parametric family of Lévy subordinators, there is a parametric family of extendible Marshall-Olkin copulas, which shares the dependence structure with the vector of first passage times of the Lévy subordinator across i.i.d. exponential threshold levels. The present article derives a strongly consistent and asymptotically normal estimator for the parameters in such models. The estimation strategy is to minimize the Euclidean distance between certain empirical and theoretical f...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
working paper 
Year:
2010 
Pages contribution:
Reviewed:
ja 
Language:
en 
Status:
Erstveröffentlichung 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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