Maximum pseudo-likelihood estimation based on estimated residuals in copula semiparametric models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10436629" target="_blank" >RIV/00216208:11320/21:10436629 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=3dHfToFlHG" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=3dHfToFlHG</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1111/sjos.12498" target="_blank" >10.1111/sjos.12498</a>

Result language
angličtina
Original language name
Maximum pseudo-likelihood estimation based on estimated residuals in copula semiparametric models
Original language description
This paper deals with an estimation of the dependence structure of a multidimensional response variable in the presence of a multivariate covariate. It is assumed that the covariate affects only the marginal distributions through regression models while the dependence structure, which is described by a copula, is unaffected. A parametric estimation of the copula function is considered with focus on the maximum pseudo-likelihood method. It is proved that under some appropriate regularity assumptions the estimator calculated from the residuals has the same asymptotic distribution as the estimator based on the unobserved errors. In such case one can ignore the fact that the response is first adjusted for the effect of the covariate. The theoretical results are accompanied by a Monte Carlo simulation study which illustrates that the maximum pseudo-likelihood estimator based on residuals may behave poorly when the stated regularity assumptions are not satisfied.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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