Parametric tail copula estimation and model testing
Parametric models for tail copulas are being used for modeling tail dependence and maximum likelihood estimation is employed to estimate unknown parameters. However, two important questions seem unanswered in the literature: (1) What is the asymptotic distribution of the MLE and (2) how does one tes...
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| Other Authors: | , |
| Format: | article |
| Language: | eng |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10773/6549 |
| Country: | Portugal |
| Oai: | oai:ria.ua.pt:10773/6549 |