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http://dx.doi.org/10.5351/KJAS.2016.29.1.267

Residual-based copula parameter estimation  

Na, Okyoung (Department of Applied Information Statistics, Kyonggi University)
Kwon, Sunghoon (Department of Applied Statistics, Konkuk University)
Publication Information
The Korean Journal of Applied Statistics / v.29, no.1, 2016 , pp. 267-277 More about this Journal
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.
Keywords
copula function; stochastic regression model; semiparametric estimation; residual empirical distribution; copula-ARMA model; AR approximation;
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Times Cited By KSCI : 1  (Citation Analysis)
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