Maximum Pseudo-Likelihood Estimation of Copula Models and Moments of Order Statistics
It has been shown that, despite being consistent and in some cases efficient, maximum pseudo-likelihood (MPL) estimation for copula models overestimates the level of dependence, especially for small samples with a low level of dependence. This is especially relevant in finance and insurance applicat...
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| Format: | Article |
| Language: | English |
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MDPI AG
2024-01-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/12/1/15 |