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Titel:

Efficient maximum likelihood estimation of copula based meta t-distributions

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Czado, C., Zhang, R., Min, A.
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 dire...     »
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:
3
Seitenangaben Beitrag:
1196–1214
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:http://dx.doi.org/10.1016/j.csda.2010.09.027
Status:
Verlagsversion / published
Semester:
SS 09
Format:
Text
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