Jackknife empirical likelihood method for copulas

被引：12

作者：

Peng, Liang ^{[2
]}

Qi, Yongcheng ^{[3
]}

Van Keilegom, Ingrid ^{[1
]}

机构：

[1] Catholic Univ Louvain, Inst Stat, B-1348 Louvain, Belgium

[2] Georgia Inst Technol, Sch Math, Atlanta, GA 30332 USA

[3] Univ Minnesota, Dept Math & Stat, Duluth, MN 55812 USA

来源：

TEST | 2012年 / 21卷 / 01期

基金：

美国国家科学基金会; 欧洲研究理事会;

关键词：

Copulas; Empirical likelihood method; Jackknife; CONFIDENCE-INTERVALS; SELECTION;

D O I：

10.1007/s11749-011-0236-4

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：

Copulas are used to depict dependence among several random variables. Both parametric and non-parametric estimation methods have been studied in the literature. Moreover, profile empirical likelihood methods based on either empirical copula estimation or smoothed copula estimation have been proposed to construct confidence intervals of a copula. In this paper, a jackknife empirical likelihood method is proposed to reduce the computation with respect to the existing profile empirical likelihood methods.

引用

页码：74 / 92

页数：19