Asymptotic efficiency of the two-stage estimation method for copula-based models
Journal of Multivariate Analysis
An Introduction to Copulas
Copula model evaluation based on parametric bootstrap
Computational Statistics & Data Analysis
Linear B-spline copulas with applications to nonparametric estimation of copulas
Computational Statistics & Data Analysis
Semiparametric multivariate density estimation for positive data using copulas
Computational Statistics & Data Analysis
Computational Statistics & Data Analysis
Modeling oncology gene pathways network with multiple genotypes and phenotypes via a copula method
CIBCB'09 Proceedings of the 6th Annual IEEE conference on Computational Intelligence in Bioinformatics and Computational Biology
Computational Statistics & Data Analysis
The bivariate generalized linear failure rate distribution and its multivariate extension
Computational Statistics & Data Analysis
Conditional copulas, association measures and their applications
Computational Statistics & Data Analysis
Computational Statistics & Data Analysis
Robust estimators and tests for bivariate copulas based on likelihood depth
Computational Statistics & Data Analysis
Efficient Bayesian inference for stochastic time-varying copula models
Computational Statistics & Data Analysis
Estimating discrete Markov models from various incomplete data schemes
Computational Statistics & Data Analysis
Semiparametric estimation of conditional copulas
Journal of Multivariate Analysis
Comparison of estimators for pair-copula constructions
Journal of Multivariate Analysis
Collective inference for network data with copula latent markov networks
Proceedings of the sixth ACM international conference on Web search and data mining
Mixture of D-vine copulas for modeling dependence
Computational Statistics & Data Analysis
Hi-index | 0.03 |
Copulas have attracted significant attention in the recent literature for modeling multivariate observations. An important feature of copulas is that they enable us to specify the univariate marginal distributions and their joint behavior separately. The copula parameter captures the intrinsic dependence between the marginal variables and it can be estimated by parametric or semiparametric methods. For practical applications, the so called inference function for margins (IFM) method has emerged as the preferred fully parametric method because it is close to maximum likelihood (ML) in approach and is easier to implement. The purpose of this paper is to compare the ML and IFM methods with a semiparametric (SP) method that treats the univariate marginal distributions as unknown functions. In this paper, we consider the SP method proposed by Genest et al. [1995. A semiparametric estimation procedure of dependence parameters in multivariate families of distributions. Biometrika 82(3), 543-552], which has attracted considerable interest in the literature. The results of an extensive simulation study reported here show that the ML/IFM methods are nonrobust against misspecification of the marginal distributions, and that the SP method performs better than the ML and IFM methods, overall. A data example on household expenditure is used to illustrate the application of various data analytic methods for applying the SP method, and to compare and contrast the ML, IFM and SP methods. The main conclusion is that, in terms of statistical computations and data analysis, the SP method is better than ML and IFM methods when the marginal distributions are unknown which is almost always the case in practice.