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Smoothed jackknife empirical likelihood method for tail copulas

Author

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  • Liang Peng

    ()

  • Yongcheng Qi

    ()

Abstract

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Suggested Citation

  • Liang Peng & Yongcheng Qi, 2010. "Smoothed jackknife empirical likelihood method for tail copulas," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(3), pages 514-536, November.
  • Handle: RePEc:spr:testjl:v:19:y:2010:i:3:p:514-536
    DOI: 10.1007/s11749-010-0184-4
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    References listed on IDEAS

    as
    1. Jing, Bing-Yi & Yuan, Junqing & Zhou, Wang, 2009. "Jackknife Empirical Likelihood," Journal of the American Statistical Association, American Statistical Association, vol. 104(487), pages 1224-1232.
    2. Elisa M. Molanes Lopez & Ingrid Van Keilegom & Noël Veraverbeke, 2009. "Empirical Likelihood for Non-Smooth Criterion Functions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(3), pages 413-432.
    3. Chen, Jian & Peng, Liang & Zhao, Yichuan, 2009. "Empirical likelihood based confidence intervals for copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 137-151, January.
    4. Peng, Liang & Qi, Yongcheng, 2008. "Bootstrap approximation of tail dependence function," Journal of Multivariate Analysis, Elsevier, vol. 99(8), pages 1807-1824, September.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Yang, Hanfang & Zhao, Yichuan, 2013. "Smoothed jackknife empirical likelihood inference for the difference of ROC curves," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 270-284.
    2. repec:spr:aistmt:v:69:y:2017:i:3:d:10.1007_s10463-016-0554-0 is not listed on IDEAS
    3. repec:eee:csdana:v:120:y:2018:i:c:p:58-69 is not listed on IDEAS
    4. Zhao, Yichuan & Meng, Xueping & Yang, Hanfang, 2015. "Jackknife empirical likelihood inference for the mean absolute deviation," Computational Statistics & Data Analysis, Elsevier, vol. 91(C), pages 92-101.
    5. Zhang, Zhigang & Zhao, Yichuan, 2013. "Empirical likelihood for linear transformation models with interval-censored failure time data," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 398-409.
    6. Yang, Hanfang & Zhao, Yichuan, 2015. "Smoothed jackknife empirical likelihood inference for ROC curves with missing data," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 123-138.
    7. Zang, Yangguang & Zhang, Sanguo & Li, Qizhai & Zhang, Qingzhao, 2016. "Jackknife empirical likelihood test for high-dimensional regression coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 94(C), pages 302-316.
    8. Liu, Aiai & Hou, Yanxi & Peng, Liang, 2015. "Interval estimation for a measure of tail dependence," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 294-305.
    9. Ai-Ai Liu & Han-Ying Liang, 2017. "Jackknife empirical likelihood of error variance in partially linear varying-coefficient errors-in-variables models," Statistical Papers, Springer, vol. 58(1), pages 95-122, March.
    10. repec:spr:aistmt:v:69:y:2017:i:5:d:10.1007_s10463-016-0576-7 is not listed on IDEAS
    11. Feng, Huijun & Peng, Liang, 2012. "Jackknife empirical likelihood tests for error distributions in regression models," Journal of Multivariate Analysis, Elsevier, vol. 112(C), pages 63-75.

    More about this item

    Keywords

    Confidence interval; Empirical likelihood; Jackknife; Tail copula; 62G15; 62G32;

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