预览加载中，请您耐心等待几秒...

Copula的参数与半参数估计方法的比较.docx

预览
1/3
2/3
3/3

在线预览结束，喜欢就下载吧，查找使用更方便

下载提示 文本预览

如果您无法下载资料，请参考说明：

1、部分资料下载需要金币，请确保您的账户上有足够的金币

2、已购买过的文档，再次下载不重复扣费

3、资料包下载后请先用软件解压，在使用对应软件打开

Copula的参数与半参数估计方法的比较 Title:AComparisonofParameterandSemi-ParameterEstimationMethodsforCopulaModels Abstract: Inrecentyears,copulamodelshavegainedsignificantpopularityinvariousfieldssuchasfinance,insurance,andenvironmentalsciencesduetotheirabilitytomodelthedependencestructurebetweenrandomvariables.Thispaperaimstocompareandcontrastparameterestimationmethods,suchasthemethodofmomentsandmaximumlikelihoodestimation,withsemi-parameterestimationmethods,suchastheempiricallikelihoodapproachandthesemiparametricefficientestimationmethod,forcopulamodels.Thestrengthsandweaknessesofeachmethodareexamined,andtheirperformanceisevaluatedintermsofefficiency,computationalcomplexity,androbustness.Thisstudyprovidesvaluableinsightsforpractitionersandresearchersinselectinganappropriateestimationmethodforcopulamodels. 1.Introduction Theestimationofparametersincopulamodelsisessentialforaccuratelycapturingthedependencestructureamongrandomvariables.Parameterestimationmethodsdependontheunderlyingassumptionsandcharacteristicsofthedata.Traditionalparameterestimationmethodsassumeaspecificparametricformforthecopulafunction,allowingforstraightforwardestimationbasedonmaximumlikelihoodormethodofmoments.However,theseparametricassumptionsmaynotaccuratelycapturethecomplexdependencypatternsinreal-worlddata.Semi-parameterestimationmethods,ontheotherhand,offermoreflexibilitybyrelaxingtheparametricassumptionswhilestillprovidingefficientestimation.Thispaperaimstocompareandcontrastparameterestimationmethodsandsemi-parameterestimationmethodsforcopulamodels. 2.ParameterEstimationMethods 2.1MethodofMoments Themethodofmomentsestimatescopulaparametersbyequatingthesamplemomentstotheirtheoreticalcounterparts.Thismethodissimpleandrequireslesscomputationaleffortthanothermethods.However,itassumesaspecificparametricformforthecopulafunction,whichmaynotalwaysbeappropriate. 2.2MaximumLikelihoodEstimation Maximumlikelihoodestimation(MLE)iswidelyusedincopulamodelsasitprovidesefficientestimatorsundercertainregularityconditions.