The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Residual-based copula parameter estimation

잔차를 이용한 코플라 모수 추정

  • Na, Okyoung (Department of Applied Information Statistics, Kyonggi University) ;
  • Kwon, Sunghoon (Department of Applied Statistics, Konkuk University)
  • 나옥경 (경기대학교 응용정보통계학과) ;
  • 권성훈 (건국대학교 응용통계학과)
  • Received : 2016.01.14
  • Accepted : 2016.01.16
  • Published : 2016.02.29
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Abstract

This paper considers we consider the estimation of copula parameters based on residuals in stochastic regression models. We prove that a semiparametric estimator using residual empirical distributions is consistent under some conditions and apply the results to the copula-ARMA model. We provide simulation results for illustration.

본 연구에서는 잔차를 이용하여 오차항의 코플라 함수를 추정하는 문제를 고려하였다. 확률적 회귀모형을 개별모형으로 갖는 경우, 오차항 대신 잔차들의 경험적 분포함수를 이용하여 구한 코플라 모수에 대한 준모수적 추정량의 성질을 살펴보았으며, 이 추정량이 일치추정량이 되기 위한 조건을 구하였다. 응용사례로 코플라-자기회귀이동평균 모형을 다루었으며, 모의실험을 통해 자기회귀 근사를 통해 얻은 잔차를 이용하여 계산한 추정량의 성질도 살펴보았다.

Keywords

References

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