Maximum Pseudo-Likelihood Estimation of Copula Models and Moments of Order Statistics
It has been shown that, despite being consistent and in some cases efficient, maximum pseudo-likelihood (MPL) estimation for copula models overestimates the level of dependence, especially for small samples with a low level of dependence. This is especially relevant in finance and insurance applicat...
Tallennettuna:
| Päätekijä: | |
|---|---|
| Aineistotyyppi: | Artigo |
| Kieli: | Inglês |
| Julkaistu: |
MDPI AG
2024-01-01
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| Sarja: | Risks |
| Aiheet: | |
| Linkit: | https://www.mdpi.com/2227-9091/12/1/15 |
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