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Semiparametric Gaussian copula models: Geometry and efficient rank-based Estimation

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  • Segers, Johan
  • van den Akker, Ramon
  • Werker, Bas

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  • Segers, Johan & van den Akker, Ramon & Werker, Bas, 2013. "Semiparametric Gaussian copula models: Geometry and efficient rank-based Estimation," LIDAM Discussion Papers ISBA 2013030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2013030
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    File URL: https://cdn.uclouvain.be/public/Exports%20reddot/stat/documents/DP2013_30_segers_semiparametric.pdf
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    References listed on IDEAS

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    1. Chen, Xiaohong & Fan, Yanqin & Tsyrennikov, Viktor, 2006. "Efficient Estimation of Semiparametric Multivariate Copula Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1228-1240, September.
    2. Claudia Klüppelberg & Gabriel Kuhn, 2009. "Copula structure analysis," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(3), pages 737-753, June.
    3. Vaart,A. W. van der, 2000. "Asymptotic Statistics," Cambridge Books, Cambridge University Press, number 9780521784504, November.
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