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Górecki J, Hofert M. Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions. J STAT COMPUT SIM 2023. [DOI: 10.1080/00949655.2023.2180511] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 02/23/2023]
Affiliation(s)
- J. Górecki
- Department of Informatics, SBA in Karviná, Silesian University in Opava, Karviná, Czech Republic
| | - M. Hofert
- Department of Statistics and Actuarial Science, The University of Hong Kong, Hong Kong, Hong Kong
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Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. J MULTIVARIATE ANAL 2019. [DOI: 10.1016/j.jmva.2019.03.008] [Citation(s) in RCA: 6] [Impact Index Per Article: 1.0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/21/2022]
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Górecki J, Hofert M, Holeňa M. On structure, family and parameter estimation of hierarchical Archimedean copulas. J STAT COMPUT SIM 2017. [DOI: 10.1080/00949655.2017.1365148] [Citation(s) in RCA: 8] [Impact Index Per Article: 1.0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/19/2022]
Affiliation(s)
- Jan Górecki
- Department of Informatics, SBA in Karviná, Silesian University in Opava, Karviná, Czech Republic
| | - Marius Hofert
- Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, ON, Canada
| | - Martin Holeňa
- Institute of Computer Science, Academy of Sciences of the Czech Republic, Praha, Czech Republic
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