Robust estimation for copula Parameter in SCOMDY models

Title
Robust estimation for copula Parameter in SCOMDY models
Author(s)
김병수이상열[이상열]
Keywords
HELLINGER DISTANCE ESTIMATION; DENSITY POWER DIVERGENCE; GARCH MODELS; MINIMUM
Issue Date
201305
Publisher
WILEY-BLACKWELL
Citation
JOURNAL OF TIME SERIES ANALYSIS, v.34, no.3, pp.302 - 314
Abstract
In this study, we study the robust estimation for the copula parameter in semiparametric copula-based multivariate dynamic (SCOMDY) models proposed by Chen and Fan (2006). To this end, instead of the pseudo maximum likelihood estimator in Chen and Fan (2006), we use a minimum density power divergence estimator (MDPDE) proposed by Basu et al. (1998). It is shown that the MDPDE is consistent and asymptotically normal under regularity conditions. We compare the performance between the two estimators when outliers exist through a simulation study.
URI
http://hdl.handle.net/YU.REPOSITORY/25922http://dx.doi.org/10.1111/jtsa.12013
ISSN
0143-9782
Appears in Collections:
이과대학 > 통계학과 > Articles
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