Efficient estimation of parameters in marginals in semiparametric multivariate models

By Ivan Medovikov, Valentyn Panchenko, Artem Prokhorov

Published 2024-01-29

Everscope rating

1524.7

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Sieve Maximum Likelihood Estimation. Problem types: Density Estimation, Risk Management.

arXiv:2401.17334 · Paper rankings

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