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Semiparametric estimation of conditional copulas

✍ Scribed by Fentaw Abegaz; Irène Gijbels; Noël Veraverbeke


Book ID
113726779
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
621 KB
Volume
110
Category
Article
ISSN
0047-259X

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Semiparametric estimation in copula mode
✍ Hideatsu Tsukahara 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 French ⚖ 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