Jackknife empirical likelihood method for copulas

被引：12
|
作者：
Peng, Liang [2 ]
Qi, Yongcheng [3 ]
Van Keilegom, Ingrid [1 ]
机构：
[1] Catholic Univ Louvain, Inst Stat, B-1348 Louvain, Belgium
[2] Georgia Inst Technol, Sch Math, Atlanta, GA 30332 USA
[3] Univ Minnesota, Dept Math & Stat, Duluth, MN 55812 USA
来源：
TEST | 2012年 / 21卷 / 01期
基金：
美国国家科学基金会; 欧洲研究理事会;
关键词：
Copulas; Empirical likelihood method; Jackknife; CONFIDENCE-INTERVALS; SELECTION;
D O I：
10.1007/s11749-011-0236-4
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Copulas are used to depict dependence among several random variables. Both parametric and non-parametric estimation methods have been studied in the literature. Moreover, profile empirical likelihood methods based on either empirical copula estimation or smoothed copula estimation have been proposed to construct confidence intervals of a copula. In this paper, a jackknife empirical likelihood method is proposed to reduce the computation with respect to the existing profile empirical likelihood methods.
引用
收藏
页码：74 / 92
页数：19
相关论文
共 50 条
  • [11] Bayesian jackknife empirical likelihood
    Cheng, Y.
    Zhao, Y.
    [J]. BIOMETRIKA, 2019, 106 (04) : 981 - 988
  • [12] MODIFIED JACKKNIFE EMPIRICAL LIKELIHOOD
    Gamage, Ramadha D. Piyadi
    Chen, Ying-Ju
    Ning, Wei
    [J]. ADVANCES AND APPLICATIONS IN STATISTICS, 2020, 60 (02) : 201 - 215
  • [13] Jackknife empirical likelihood method for testing the equality of two variances
    Chen, Ying-Ju
    Ning, Wei
    Gupta, Arjun K.
    [J]. JOURNAL OF APPLIED STATISTICS, 2015, 42 (01) : 144 - 160
  • [14] Jackknife empirical likelihood with complex surveys
    Shang, Mengdong
    Chen, Xia
    [J]. arXiv, 2023,
  • [15] Jackknife empirical likelihood for the skewness and kurtosis
    Zhao, Yichuan
    Moss, Anna
    Yang, Hanfang
    Zhang, Yan
    [J]. STATISTICS AND ITS INTERFACE, 2018, 11 (04) : 709 - 719
  • [16] Jackknife empirical likelihood method for some risk measures and related quantities
    Peng, Liang
    Qi, Yongcheng
    Wang, Ruodu
    Yang, Jingping
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2012, 51 (01): : 142 - 150
  • [17] Jackknife empirical likelihood method for multiply robust estimation with missing data
    Chen, Sixia
    Haziza, David
    [J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2018, 127 : 258 - 268
  • [18] Jackknife empirical likelihood tests for distribution functions
    Feng, Huijun
    Peng, Liang
    [J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2012, 142 (06) : 1571 - 1585
  • [19] Bayesian jackknife empirical likelihood with complex surveys
    Shang, Mengdong
    Chen, Xia
    [J]. arXiv, 2023,
  • [20] General Jackknife empirical likelihood and its applications
    Yiming Liu
    Shaochen Wang
    Wang Zhou
    [J]. Statistics and Computing, 2023, 33 (3)
12345