- Volume 19, Number 2 (2013), 462-491.
Parameter estimation for pair-copula constructions
We explore various estimators for the parameters of a pair-copula construction (PCC), among those the stepwise semiparametric (SSP) estimator, designed for this dependence structure. We present its asymptotic properties, as well as the estimation algorithm for the two most common types of PCCs. Compared to the considered alternatives, that is, maximum likelihood, inference functions for margins and semiparametric estimation, SSP is in general asymptotically less efficient. As we show in a few examples, this loss of efficiency may however be rather low. Furthermore, SSP is semiparametrically efficient for the Gaussian copula. More importantly, it is computationally tractable even in high dimensions, as opposed to its competitors. In any case, SSP may provide start values, required by the other estimators. It is also well suited for selecting the pair-copulae of a PCC for a given data set.
Bernoulli, Volume 19, Number 2 (2013), 462-491.
First available in Project Euclid: 13 March 2013
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Hobæk Haff, Ingrid. Parameter estimation for pair-copula constructions. Bernoulli 19 (2013), no. 2, 462--491. doi:10.3150/12-BEJ413. https://projecteuclid.org/euclid.bj/1363192035
- Supplementary material A: SSP estimation algorithms for D- and C-vines. Estimation algorithms for the stepwise semiparametric estimator for D- and C-vines.
- Supplementary material B: Figures and table from Example 4.4. Figures 2, 3 and 4, as well as Table 4 from Example 4.4.