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Estimation in semiparametric models using an auxiliary model

✍ Scribed by Stefan Huschens; Gerhard Stahl

Book ID
112939620
Publisher
Springer-Verlag
Year
1995
Tongue
English
Weight
506 KB
Volume
36
Category
Article
ISSN
0932-5026

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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