Estimating standard errors in regular vine copula models

Jakob Stöber () and Ulf Schepsmeier

Computational Statistics, 2013, vol. 28, issue 6, 2679-2707

Abstract: We describe a new algorithm for the computation of the score function and observed information in regular vine (R-vine) copula models. R-vine copulas are constructed hierarchically from bivariate copulas as building blocks only, and the algorithm exploits this hierarchical nature for subsequent computation of log-likelihood derivatives. This allows to routinely estimate standard errors of parameter estimates, and overcomes reliability and accuracy issues associated with numerical differentiation in multidimensional models. Results obtained using the proposed methods are discussed in the context of the asymptotic efficiency of different estimation methods and of an application to exchange rate data. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: Copula; Exchange rates; R-vine; Standard errors (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:compst:v:28:y:2013:i:6:p:2679-2707

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DOI: 10.1007/s00180-013-0423-8

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