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Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study

✍ Scribed by Gregor Weiß


Book ID
105855359
Publisher
Springer
Year
2010
Tongue
English
Weight
896 KB
Volume
26
Category
Article
ISSN
0943-4062

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We consider a multiple autoregressive model with non-normal error distributions, the latter being more prevalent in practice than the usually assumed normal distribution. Since the maximum likelihood equations have convergence problems (Puthenpura and Sinha, 1986) [11], we work out modified maximum