GÓRECKI, Jan and Marius HOFERT. Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions. Journal of Statistical Computation and Simulation. Taylor & Francis, 2023, vol. 93, No 13, p. 2321-2355. ISSN 0094-9655.
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Basic information
Original name Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions
Authors GÓRECKI, Jan (203 Czech Republic, guarantor, belonging to the institution) and Marius HOFERT (276 Germany).
Edition Journal of Statistical Computation and Simulation, Taylor & Francis, 2023, 0094-9655.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 10201 Computer sciences, information science, bioinformatics
Country of publisher United Kingdom of Great Britain and Northern Ireland
Confidentiality degree is not subject to a state or trade secret
WWW URL
RIV identification code RIV/47813059:19520/23:A0000368
Organization unit School of Business Administration in Karvina
UT WoS 000934897200001
Keywords in English Maximum pseudo-likelihood estimator; aggregated maximum pseudo-likelihood estimator; bivariate margins; probability density function; Archimedean and Archimax copulas; hierarchical copulas
Links GA21-03085S, research and development project.
Changed by Changed by: Ing. Jan Górecki, Ph.D., učo 49432. Changed: 15/12/2023 13:16.
Abstract
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.
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