Copula-Based Maximum-Likelihood Estimation of Sample-Selection Models
نویسندگان
چکیده
منابع مشابه
Maximum likelihood estimation of skew t-copula
We construct a copula from the multivariate skew t-distribution of Azzalini and Capitanio (2003). This copula can capture asymmetric and extreme dependence between variables, and it is one of the few that is effective when the number of dimensions is high. However, two problems arise when estimating the parameters by maximum likelihood estimation. Here, we solve these problems and provide a con...
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ژورنال
عنوان ژورنال: The Stata Journal: Promoting communications on statistics and Stata
سال: 2013
ISSN: 1536-867X,1536-8734
DOI: 10.1177/1536867x1301300307