Estimation Procedures for a Semiparametric Family of Bivariate Copulas

This article proposes simple estimation methods dedicated to a semiparametric family of bivariate copulas. These copulas can be simply estimated through the estimation of their univariate generating function. We use this result to estimate the associated measures of association as well as the high p...

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Veröffentlicht in:	Journal of computational and graphical statistics 2005-06, Vol.14 (2), p.363-377
Hauptverfasser:	Amblard, Cécile, Girard, Stéphane
Format:	Artikel
Sprache:	eng
Schlagworte:	Copula functions Cumulative distribution functions Estimating techniques Estimation methods Financial margins Generating function High probability regions Life expectancy Mathematical functions Mathematical independent variables Maximum likelihood estimation Measures of association Methodology Nonparametric estimate Probability Simulation Standard deviation Statistics Studies
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Beschreibung
Zusammenfassung:	This article proposes simple estimation methods dedicated to a semiparametric family of bivariate copulas. These copulas can be simply estimated through the estimation of their univariate generating function. We use this result to estimate the associated measures of association as well as the high probability regions of the copula. These procedures are illustrated using both simulations and real data.
ISSN:	1061-8600 1537-2715
DOI:	10.1198/106186005X48722