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...

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Hlavní autor:	Alexandra Dias
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	MDPI AG 2024-01-01
Edice:	Risks
Témata:	copula model finite sample properties general insurance rank statistics relative efficiency semiparametric estimation
On-line přístup:	https://www.mdpi.com/2227-9091/12/1/15
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