Semiparametric estimation in copula models

By Hideatsu Tsukahara. 2005

342 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/46c0fc8f157a07c63334dc999a9cdb272e873ce4

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Citations in the corpus

A review of copula models for economic time series (2012, background): “Minimum distance estimation is considered by Tsukahara [143].”
Copula Methods for Forecasting Multivariate Time Series (2013, background): “Minimum distance estimation is considered by Tsukahara (2005).”
Estimation of a Copula when a Covariate Affects only Marginal Distributions (2015, result): “Note that this result extends the standard results on weak convergence of the empirical copula estimator (see Fermanian et al., 2004; Tsukuhara, 2005; Omelka et al., 2009; Segers, 2012, among others) to the situation where residuals are used instead of independent and identically distributed…”
Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence (2007, methodology): “Conditions such that C is a copula are given in Rodŕıguez-Lallena and Úbeda-Flores (2004). Then Blomqvist’s β = β(1/2,1/2) = 4θg(1/2)h(1/2) and Spearman’s ρ is”
Parameter estimation for pair-copula constructions (2013, background): “According to Theorem 1 from Tsukahara [40] and Theorem 1, respectively, √ n(θ̂ 1d|v1d − θ1d|v1d) d −→ ZSP ∼N (0, V SP 2 ) and √ n(θ̂ 1d|v1d − θ1d|v1d) d −→ ZSSP ∼N (0, V SSP 2 ), as n → ∞.”
The Copula Information Criteria (2014, methodology): “(i) The score function fulfils condition A1 of Tsukahara (2005).”
A note on bootstrap approximations for the empirical copula process (2010, neutral): “The asymptotic behavior of Cn was studied in several papers, including Gänssler and Stute (1987), Ghoudi and Rémillard (2004) or Tsukahara (2005) among others.”
Identification of suitable copulas for bivariate frequency analysis of flood peak and flood volume data (2011, methodology): “It is interesting to note that although classical maximum likelihood approach is more general, smaller mean squared errors were reported for the MPL method in a simulation study reported by Tsukahara (2005).”
Nonparametric estimation of multivariate extreme-value copulas (2011, background): “(2.7) In Stute (1984) and Tsukahara (2005) it was established thatif all secondorder derivatives ofC exist and are continuous on [0, 1]p, the processesαn in (2.2) andCn in (2.7) are related via Cn(u) = αn(u) − p ∑ j=1 Ċ j(u)αn, j(u j) + Rn(u), (2.8) the remainder termRn satisfying sup…”
A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing (2013, neutral): “The quantity Cn(0, 1, ·, ·) is the standard empirical copula process which has been extensively studied in the literature (see e.g. Rüschendorf, 1976; Gänssler and Stute, 1987; Tsukahara, 2005; van der Vaart and Wellner, 2007; Segers, 2012; Bücher and Volgushev, 2013) while the quantity Cn(0, ·, ·, ”
Probit Transformation for Nonparametric Kernel Estimation of the Copula Density (2014, background): “…(2004), Tsukuhara (2005), Segers (2012) and B¨ucher and Volgushev (2013), and turns out to be the cornerstone of a variety of nonparametric copula-based procedures, see e.g. Genest and R´emillard (2004), Genest et al (2009a), Gudendorf and Segers (2012) or Li and Genton (2013), to cite only a few.”