Rank-based inference tools for copula regression, with property and casualty insurance applications
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DOI: 10.1016/j.insmatheco.2019.08.001
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Cited by:
- Mayer, Alexander & Wied, Dominik, 2023.
"Estimation and inference in factor copula models with exogenous covariates,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 1500-1521.
- Alexander Mayer & Dominik Wied, 2021. "Estimation and Inference in Factor Copula Models with Exogenous Covariates," Papers 2107.03366, arXiv.org, revised Dec 2022.
- Einmahl, John & Zhou, C., 2024. "Tail Copula Estimation for Heteroscedastic Extremes," Discussion Paper 2024-003, Tilburg University, Center for Economic Research.
- Marek Omelka & Šárka Hudecová & Natalie Neumeyer, 2021. "Maximum pseudo‐likelihood estimation based on estimated residuals in copula semiparametric models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1433-1473, December.
- Einmahl, John & Zhou, C., 2024. "Tail Copula Estimation for Heteroscedastic Extremes," Other publications TiSEM 6bcb09c5-8b19-48b8-9320-b, Tilburg University, School of Economics and Management.
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Keywords
Empirical copula process; Goodness-of-fit test; Inversion of Kendall’s tau; Maximum pseudo-likelihood; Residuals; Weak convergence;All these keywords.
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