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Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known

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  • Segers, J.J.J.

    (Tilburg University, School of Economics and Management)

  • van den Akker, R.

    (Tilburg University, School of Economics and Management)

  • Werker, B.J.M.

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • Segers, J.J.J. & van den Akker, R. & Werker, B.J.M., 2008. "Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known," Other publications TiSEM 950a8cda-8f8c-43a9-a5c2-8, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:950a8cda-8f8c-43a9-a5c2-88ca22b891da
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/982459/2008-40.pdf
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    References listed on IDEAS

    as
    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. Drost, Feike C. & van den Akker, Ramon & Werker, Bas J.M., 2008. "Note on integer-valued bilinear time series models," Statistics & Probability Letters, Elsevier, vol. 78(8), pages 992-996, June.
    3. Peng, Hanxiang & Schick, Anton, 2002. "On efficient estimation of linear functionals of a bivariate distribution with known marginals," Statistics & Probability Letters, Elsevier, vol. 59(1), pages 83-91, August.
    4. van den Akker, R., 2007. "Integer-valued time series," Other publications TiSEM e7f68743-db57-4056-9ca7-1, Tilburg University, School of Economics and Management.
    5. Joe, Harry, 2005. "Asymptotic efficiency of the two-stage estimation method for copula-based models," Journal of Multivariate Analysis, Elsevier, vol. 94(2), pages 401-419, June.
    6. Peng, Hanxiang & Schick, Anton, 2005. "Efficient estimation of linear functionals of a bivariate distribution with equal, but unknown marginals: the least-squares approach," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 385-409, August.
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