Copula information criterion for model selection with two-stage maximum likelihood estimation
نویسندگان
چکیده
منابع مشابه
Two-stage estimation using copula function
Maximum likelihood estimation of multivariate distributions needs solving a optimization problem with large dimentions (to the number of unknown parameters) but two- stage estimation divides this problem to several simple optimizations. It saves significant amount of computational time. Two methods are investigated for estimation consistency check. We revisit Sankaran and Nair's bivari...
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ژورنال
عنوان ژورنال: Econometrics and Statistics
سال: 2019
ISSN: 2452-3062
DOI: 10.1016/j.ecosta.2019.01.001