Asymptotic efficiency of the two-stage estimation method for copula-based models
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In copula regression applications, it is common to use the inference for margins (IFM) procedure.
“In copula regression applications, it is common to use the inference for margins (IFM) procedure, a two stage estimation algorithm due to Joe (2005).”
From Dependence modeling of multivariate longitudinal hybrid insurance data with dropout (2021) · cites this paper as Joe (2005)
Section 2 identifies IFM as a two-stage method for copula-based multivariate models and says it can be used with covariates. It does not establish that IFM is common specifically in copula regression applications. It also says the method was used before 2005 and credits its general formulation to Xu and an earlier work by Joe, rather than originating in this paper. (LLM, conf=0.86)
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Dependence modeling of multivariate longitudinal hybrid insurance data with dropout
Frees, E. W., Bolancé, C., Guillen, M., & Valdez, E. A. (2021) · Expert Systems with Applications · doi:10.1016/j.eswa.2021.115552 · Cited by 10 · see citing works
- Authors
- Joe, H.
- Affiliations
- University of British Columbia (CA)
- Corresponding author
- Joe, Harry
- ORCID
- Joe, Harry
- Venue
- Journal of Multivariate Analysis
- Publisher
- Elsevier BV
- Published
- 2005-06
- Volume
- 94
- Issue
- 2
- Pages
- 401-419
- ISSN
- 0047-259X (ISSN-L)
- OpenAlex
- W1972882514
- Cited by
- 602
- References
- 25
- Citations by year
- 2026: 20 · 2025: 23 · 2024: 27 · 2023: 32 · 2022: 32 · 2021: 46 · 2020: 48 · 2019: 33 · 2018: 36 · 2017: 48 · 2016: 28 · 2015: 38 · 2014: 32 · 2013: 40 · 2012: 22
- FWCI
- 11.58
- Type
- journal article
- Language
- en
- Open access
- bronze
- doi.org
- Licence
- Locations
- Journal of Multivariate Analysis (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Funders
- Natural Sciences and Engineering Research Council of Canada
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Physical Sciences › Mathematics › Statistics and Probability › Statistical Distribution Estimation and Applications
- Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Inference
- Keywords
- two-stage estimation, asymptotic relative efficiency, maximum likelihood estimation, asymptotic covariance matrix, dependence parameter, bivariate extreme value distribution, multivariate dependence
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