Browsing College of Arts and Science by Author "Fan, Yanqin"

Now showing items 1-4 of 4

    • A Model Selection Test for Bivariate Failure-Time Data 
      Chen, Xiaohong; Fan, Yanqin (Vanderbilt University, 2004)
      In this paper, we address two important issues in survival model selection for censored data generated by the Archimedean copula family; method of estimating the parametric copulas and data reuse. We demonstrate that for ...
    • Efficient Estimation of Semiparametric Multivariate Copula Models 
      Chen, Xiaohong; Fan, Yanqin; Tsyrennikov, Victor (Vanderbilt University, 2004)
      We propose a sieve maximum likelihood (ML) estimation procedure for a broad class of semiparametric multivariate distribution models. A joint distribution in this class is characterized by a parametric copula function ...
    • Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification 
      Chen, Xiaohong; Fan, Yanqin (Vanderbilt University, 2004)
      Recently Chen and Fan (2003a) introduced a new class of semiparametric copula-based multivariate dynamic (SCOMDY) models. A SCOMDY model specifies the conditional mean and the conditional variance of a multivariate time ...
    • Evaluating Density Forecasts via the Copula Approach 
      Chen, Xiaohong; Fan, Yanqin (Vanderbilt University, 2002)
      In this paper, we develop a general approach for constructing simple tests for the correct density forecasts, or equivalently, for i.i.d. uniformity of appropriately transformed random variables. It is based on nesting a ...