Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F23%3AA0000368" target="_blank" >RIV/47813059:19520/23:A0000368 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.tandfonline.com/doi/full/10.1080/00949655.2023.2180511" target="_blank" >https://www.tandfonline.com/doi/full/10.1080/00949655.2023.2180511</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions

Popis výsledku v původním jazyce

The pairwise pseudo-likelihood estimator (PPLE) is introduced for estimating the parameters of pair-tractable copulas, so copulas with analytically or numerically tractable pairwise margins, such as Archimedean, hierarchical Archimedean, Archimax and hierarchical Archimax copulas. In cases where feasible, the PPLE is compared, by simulation, to the standard maximum pseudo-likelihood estimator (MPLE) in terms of bias, root mean squared error (RMSE) and run time. The PPLE is also compared to the aggregated MPLE (AMPLE) for hierarchical Archimedean copulas. The simulation results indicate that the PPLE has a bias and RMSE comparable to the MPLE for those Archimedean copulas where the latter is available. For hierarchical Archimedean and hierarchical Archimax copulas for which the MPLE is not easily available, the PPLE mostly outperforms the AMPLE in bias and RMSE, with a clear advantage in terms of run time.

Název v anglickém jazyce

Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions

Popis výsledku anglicky

The pairwise pseudo-likelihood estimator (PPLE) is introduced for estimating the parameters of pair-tractable copulas, so copulas with analytically or numerically tractable pairwise margins, such as Archimedean, hierarchical Archimedean, Archimax and hierarchical Archimax copulas. In cases where feasible, the PPLE is compared, by simulation, to the standard maximum pseudo-likelihood estimator (MPLE) in terms of bias, root mean squared error (RMSE) and run time. The PPLE is also compared to the aggregated MPLE (AMPLE) for hierarchical Archimedean copulas. The simulation results indicate that the PPLE has a bias and RMSE comparable to the MPLE for those Archimedean copulas where the latter is available. For hierarchical Archimedean and hierarchical Archimax copulas for which the MPLE is not easily available, the PPLE mostly outperforms the AMPLE in bias and RMSE, with a clear advantage in terms of run time.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

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OECD FORD obor

10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Projekt

<a href="/cs/project/GA21-03085S" target="_blank" >GA21-03085S: Párové porovnání a data mining při podpoře rozhodovacích procesů</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2023

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Statistical Computation and Simulation

ISSN

0094-9655

e-ISSN

1563-5163

Svazek periodika

93

Číslo periodika v rámci svazku

13

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

35

Strana od-do

2321-2355

Kód UT WoS článku

000934897200001

EID výsledku v databázi Scopus

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