Estimating Archimedean Copulas in High Dimensions
Article first published online: 22 AUG 2012
© 2012 Board of the Foundation of the Scandinavian Journal of Statistics
Scandinavian Journal of Statistics
Volume 39, Issue 3, pages 461–479, September 2012
How to Cite
HERING, C. and STADTMÜLLER, U. (2012), Estimating Archimedean Copulas in High Dimensions. Scandinavian Journal of Statistics, 39: 461–479. doi: 10.1111/j.1467-9469.2012.00803.x
- Issue published online: 22 AUG 2012
- Article first published online: 22 AUG 2012
- Received March 2010, in final form March 2012
Data S1. A word concerning the implementation.
Data S2. The proofs of lemmas 5 and 6.
Data S3. A proof of the identifiability condition for Clayton’s family.
|SJOS_803_sm_DataS1-S3.pdf||268K||Supporting info item|
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