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May 2013 Parameter estimation for pair-copula constructions
Ingrid Hobæk Haff
Bernoulli 19(2): 462-491 (May 2013). DOI: 10.3150/12-BEJ413

Abstract

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.

Citation

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Ingrid Hobæk Haff. "Parameter estimation for pair-copula constructions." Bernoulli 19 (2) 462 - 491, May 2013. https://doi.org/10.3150/12-BEJ413

Information

Published: May 2013
First available in Project Euclid: 13 March 2013

zbMATH: 06168760
MathSciNet: MR3037161
Digital Object Identifier: 10.3150/12-BEJ413

Keywords: copulae , efficiency , empirical distribution functions , hierarchical construction , stepwise estimation , vines

Rights: Copyright © 2013 Bernoulli Society for Mathematical Statistics and Probability

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Vol.19 • No. 2 • May 2013
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