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Statistical inference for copulas in high dimensions : a simulation study
Recurso electrónico / electronic resource
MAP20130033594
Embrechts, Paul ‌
Statistical inference for copulas in high dimensions : a simulation study / Paul Embrechts
Sumario: Statistical inference for copulas has been addressed in various research papers. Due to the complicated theoretical results, studies have been carried out mainly in the bivariate case, be it properties of estimators or goodness-of-fit tests. However, from a practical point of view, higher dimensions are of interest. This work presents the results of large-scale simulation studies with particular focus on the question to what extent dimensionality influences point and interval estimators
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 08/07/2013 Volumen 43 Número 2 - julio 2013
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