Estimation procedures for a semiparametric family of bivariate copulas

被引：9

作者：

Amblard, C

Girard, S

机构：

[1] Univ Grenoble 2, LabSAD, F-38040 Grenoble 9, France

[2] Univ Grenoble 1, SMS, LMC, F-38041 Grenoble 9, France

来源：

JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS | 2005年 / 14卷 / 02期

关键词：

high probability regions; measures of association; nonparametric estimate;

D O I：

10.1198/106186005X48722

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：363 / 377

页数：15

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