Jackknife empirical likelihood method for copulas

被引：0
|
作者：
Liang Peng
Yongcheng Qi
Ingrid Van Keilegom
机构：
[1] Georgia Institute of Technology,School of Mathematics
[2] University of Minnesota Duluth,Department of Mathematics and Statistics
[3] Université catholique de Louvain,Institute of Statistics
来源：
TEST | 2012年 / 21卷
关键词：
Copulas; Empirical likelihood method; Jackknife; 62E20; 62F40; 62G07; 62G30; 62H15;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Copulas are used to depict dependence among several random variables. Both parametric and non-parametric estimation methods have been studied in the literature. Moreover, profile empirical likelihood methods based on either empirical copula estimation or smoothed copula estimation have been proposed to construct confidence intervals of a copula. In this paper, a jackknife empirical likelihood method is proposed to reduce the computation with respect to the existing profile empirical likelihood methods.
引用
收藏
页码：74 / 92
页数：18
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