Weighted least-squares inference for multivariate copulas based on dependence coefficients
نویسندگان
چکیده
منابع مشابه
Weighted least-squares inference for multivariate copulas based on dependence coefficients
In this paper, we address the issue of estimating the parameters of general multivariate copulas, that is, copulas whose partial derivatives may not exist. To this aim, we consider a weighted least-squares estimator based on dependence coefficients, and establish its consistency and asymptotic normality. The estimator’s performance on finite samples is illustrated on simulations and a real data...
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ژورنال
عنوان ژورنال: ESAIM: Probability and Statistics
سال: 2015
ISSN: 1292-8100,1262-3318
DOI: 10.1051/ps/2015014