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Title:

Efficient maximum likelihood estimation of copula based meta t-distributions

Document type:
Zeitschriftenaufsatz
Author(s):
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...     »
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:
3
Pages contribution:
1196–1214
Reviewed:
ja
Language:
en
Fulltext / 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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