Wybrane metody estymacji parametrów funkcji łączących

• Authors: Justyna Majewska

Title variants

EN

Review of Chosen Methods of Copula Estimation

• Languages of publication: PL

Abstracts

EN

In this paper we provide a brief survey of some parametric estimation procedures for copula models. We review approaches to inference on copulas for random samples with dependent marginals and we also discuss the issue of robustness of estimation methods. The methods were considered in the context of the presence of outliers.

Keywords

PL

Analiza ryzyka; Metody estymacji; Portfel inwestycyjny

EN

Estimation methods; Investment portfolio; Risk analysis

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2014
• Volume: 192
• Pages: 101-114

Contributors

author

Justyna Majewska

References

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Identifiers

ISSN

2083-8611