Semiparametric Estimation in Copulas with the Same Marginals |
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Authors: | Alexandre Berred |
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Affiliation: | UFR Sciences et Techniques , Université du Havre , Le Havre , France |
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Abstract: | We consider semiparametric multivariate data models based on copula representation of the common distribution function. A copula is characterized by a parameter of association and marginal distribution functions. This parameter and the marginal distributions are unknown. In this article, we study the estimator of the parameter of association in copulas with the marginal distribution functions assumed as nuisance parameters restricted by the assumption that the components are identically distributed. Results of this work could be used to construct special kinds of tests of homogeneity for random vectors having dependent components. |
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Keywords: | Archimedean copula Copula Exchangeable random variables Multivariate rank statistics Semiparametric copula estimation Semiparametric copula models |
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