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Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Schepsmeier, U., and Stöber, J.
Titel:
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 implem...    »
Stichworte:
Copula, Fisher Information, derivatives
Zeitschriftentitel:
Statistical Papers
Jahr:
2014
Band / Volume:
55
Jahr / Monat:
2014-05
Heft / Issue:
2
Seitenangaben Beitrag:
525-542
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1007/s00362-013-0498-x
WWW:
http://link.springer.com/article/10.1007%25252Fs00362-013-0498-x
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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