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- W2087160118 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. L'estimation semiparamétrique dans les modèles de copules: L'auteur rappelle le comportement limite du processus de copule empirique et en déduit certaines propriétés asymptotiques d'un estimateur à distance minimale d'un parametre euclidien dans un modèle de copules. L'estimateur en question est semiparamétrique en ce qu'il ne dépend pas des marges. L'auteur propose un autre estimateur semiparamétrique dit “Z-estimateur de rang approché,” dont il démontre la normalité asymptotique. Il pésente en outre les résultats de simulations de Monte-Carlo visant à comparer divers estimateurs dans le cadre de quatre modèles de copules bivariés bien connus." @default.
- W2087160118 created "2016-06-24" @default.
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- W2087160118 date "2005-09-01" @default.
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- W2087160118 title "Semiparametric estimation in copula models" @default.
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- W2087160118 doi "https://doi.org/10.1002/cjs.5540330304" @default.
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