Maximum Pseudo-Likelihood Estimation of Copula Models and Moments of Order Statistics
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DOI: 10.3390/risks12010015
Abstract: It has been shown that, despite being consistent and in some cases efficient, maximum pseudo-likelihood (MPL) estimation for copula models overestimates the level of dependence, especially for small samples with a low level of dependence.… read more here.
Keywords: pseudo likelihood; order statistics; copula models; estimation copula ... See more keywords