Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and ...

@article{73663,
   author = {Górecki, Jan and Hofert, Marius},
   article_number = {13},
   keywords = {Maximum pseudo-likelihood estimator; aggregated maximum pseudo-likelihood estimator; bivariate margins; probability density function; Archimedean and Archimax copulas; hierarchical copulas},
   language = {eng},
   issn = {0094-9655},
   journal = {Journal of Statistical Computation and Simulation},
   title = {Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions},
   url = {https://www.tandfonline.com/doi/full/10.1080/00949655.2023.2180511},
   volume = {93},
   year = {2023}
}

TY  - JOUR
ID  - 73663
AU  - Górecki, Jan - Hofert, Marius
PY  - 2023
TI  - Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions
JF  - Journal of Statistical Computation and Simulation
VL  - 93
IS  - 13
SP  - 2321-2355
EP  - 2321-2355
PB  - Taylor & Francis
SN  - 00949655
KW  - Maximum pseudo-likelihood estimator
KW  - aggregated maximum pseudo-likelihood estimator
KW  - bivariate margins
KW  - probability density function
KW  - Archimedean and Archimax copulas
KW  - hierarchical copulas
UR  - https://www.tandfonline.com/doi/full/10.1080/00949655.2023.2180511
N2  - The pairwise pseudo-likelihood estimator (PPLE) is introduced for estimating the parameters of pair-tractable copulas, so copulas with analytically or numerically tractable pairwise margins, such as Archimedean, hierarchical Archimedean, Archimax and hierarchical Archimax copulas. In cases where feasible, the PPLE is compared, by simulation, to the standard maximum pseudo-likelihood estimator (MPLE) in terms of bias, root mean squared error (RMSE) and run time. The PPLE is also compared to the aggregated MPLE (AMPLE) for hierarchical Archimedean copulas. The simulation results indicate that the PPLE has a bias and RMSE comparable to the MPLE for those Archimedean copulas where the latter is available. For hierarchical Archimedean and hierarchical Archimax copulas for which the MPLE is not easily available, the PPLE mostly outperforms the AMPLE in bias and RMSE, with a clear advantage in terms of run time.
ER  - 

GÓRECKI, Jan a Marius HOFERT. Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions. \textit{Journal of Statistical Computation and Simulation}. Taylor \&{} Francis, 2023, roč.~93, č.~13, s.~2321-2355. ISSN~0094-9655.