Abstract: In the field of financial risk management, there is still no effective solution for the selection and goodness-of-fit test of multivariate Copula functions. This paper proposes a selection ...
The purpose of this paper is to present a comprehensive simulation study on the finite sample properties of minimum distance and maximum likelihood estimators for bivariate and multivariate parametric ...
Abstract: Probability density estimation from observed data constitutes a central task in statistics. In this brief, we focus on the problem of estimating the copula density associated with any ...
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