Focused information criteria for copulas
نویسندگان
چکیده
منابع مشابه
Information bounds for Gaussian copulas.
Often of primary interest in the analysis of multivariate data are the copula parameters describing the dependence among the variables, rather than the univariate marginal distributions. Since the ranks of a multivariate dataset are invariant to changes in the univariate marginal distributions, rank-based estimators are natural candidates for semiparametric copula estimation. Asymptotic informa...
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ژورنال
عنوان ژورنال: Scandinavian Journal of Statistics
سال: 2019
ISSN: 0303-6898,1467-9469
DOI: 10.1111/sjos.12387