Semiparametric estimation in copula models |
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Authors: | Hideatsu Tsukahara |
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Institution: | 1. Email:Hideatsu TSUKAHARA tsukahar@seijo.ac.jp;4. Faculty of Economics Seijo University, Tokyo, Japan |
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Abstract: | 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 necessary. The author also proposes another semiparametric estimator which he calls “rank approximate Z‐estimator” and whose asymptotic normality he derives. He further presents Monte Carlo simulation results for the comparison of various estimators in four well‐known bivariate copula models. |
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Keywords: | Asymptotic distribution copula model empirical copula minimum distance method rank semiparametric model simulation Z‐estimator |
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