JOURNAL ARTICLE
Efficient Estimation of Copula-Based Semiparametric Markov Models
Xiaohong ChenWei Biao WuYanping Yi
Year: 2009 Journal: SSRN Electronic Journal Publisher: RELX Group (Netherlands)
Keywords:
Mathematics Copula (linguistics) Estimator Quantile Applied mathematics Parametric statistics Gumbel distribution Sieve (category theory) Markov chain Statistics Econometrics Combinatorics Extreme value theory
Metrics
16
Cited By
0.00
FWCI (Field Weighted Citation Impact)
55
Refs
Citation Normalized Percentile
Is in top 1%
Is in top 10%
Citation History
Topics
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Bayesian Methods and Mixture Models
Physical Sciences → Computer Science → Artificial Intelligence
Statistical Methods and Inference
Physical Sciences → Mathematics → Statistics and Probability
Related Documents
JOURNAL ARTICLE
Efficient estimation of copula-based semiparametric Markov models
Xiaohong ChenWei Biao WuYanping Yi
Journal: The Annals of Statistics Year: 2009 Vol: 37 (6B)
JOURNAL ARTICLE
Efficient Estimation of Semiparametric Multivariate Copula Models
Xiaohong ChenYanqin FanViktor Tsyrennikov
Journal: Journal of the American Statistical Association Year: 2006 Vol: 101 (475)Pages: 1228-1240
JOURNAL ARTICLE
Semiparametric Gaussian Copula Models: Geometry and Efficient Rank-Based Estimation
Johan SegersRamon Van den AkkerBas J. M. Werker
Journal: SSRN Electronic Journal Year: 2013
JOURNAL ARTICLE
Semiparametric Gaussian copula models: Geometry and efficient rank-based estimation
Johan SegersRamon Van den AkkerBas J. M. Werker
Journal: The Annals of Statistics Year: 2014 Vol: 42 (5)
JOURNAL ARTICLE
Semiparametric Gaussian copula models: Geometry and efficient rank-based estimation
Johan SegersRamon Van den AkkerBas J. M. Werker
Journal: RePEc: Research Papers in Economics Year: 2013