Vitenskapelig artikkel   2012

Hobæk Haff, Ingrid

Publikasjonsdetaljer

Tidsskrift:

Journal of Multivariate Analysis, vol. 110, p. 91–105–15, 2012

Utgiver:

Academic Press

Internasjonale standardnumre:

Trykt: 0047-259X
Elektronisk: 1095-7243

Lenker:

DOI: doi.org/10.1016/j.jmva.2011.08.013

We compare two of the most used estimators for the parameters of a pair-copula construction (PCC), namely the semiparametric (SP) and the stepwise semiparametric (SSP) estimators. By construction, the computational speed of the SSP estimator is considerably higher, at the expense of its asymptotic efficiency. Based on an extensive simulation study, we find that the performance of the SSP estimator is overall satisfactory compared to its contender. SSP loses some efficiency with respect to SP with increasing dependence, especially in the top levels of the PCC. On the other hand, the SSP estimator may suffer less under reduced sample sizes and misspecification of the model. Finally, it is the only real alternative for large-dimensional problems. Though it struggles with the top level parameters, the lower order dependences of the resulting estimated PCC mimic the true distribution well. All in all, this study supports the use of SSP in most applications.