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Efficient Estimation of Semiparametric Multivariate Copula Models

โœ Scribed by Chen, Xiaohong; Fan, Yanqin; Tsyrennikov, Viktor


Book ID
121230214
Publisher
American Statistical Association
Year
2006
Tongue
English
Weight
369 KB
Volume
101
Category
Article
ISSN
0162-1459

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Semiparametric estimation in copula mode
โœ Hideatsu Tsukahara ๐Ÿ“‚ Article ๐Ÿ“… 2005 ๐Ÿ› John Wiley and Sons ๐ŸŒ French โš– 931 KB

The author recalls the limiting behaviour of the empirical copula process and applies it to prove some asymptotic properties of a minimum distance estimator for a Euclidean parameter in a copula model. The estimator in question is semiparametric in that no knowledge of the marginal distributions is