Weighted least-squares inference based on dependence coefficients for multivariate copulas - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2014

Weighted least-squares inference based on dependence coefficients for multivariate copulas

Résumé

In this paper, we address the issue of estimating the parameters of general multivariate copulas, that is, copulas whose partial derivatives may not exist. To this aim, we consider a weighted least-squares estimator based on dependence coefficients, and establish its consistency and asymptotic normality. The estimator's performance on finite samples is illustrated on simulations and a real dataset.
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Dates et versions

hal-00979151 , version 1 (15-04-2014)
hal-00979151 , version 2 (05-05-2014)
hal-00979151 , version 3 (17-08-2014)
hal-00979151 , version 4 (13-11-2014)
hal-00979151 , version 5 (13-11-2014)
hal-00979151 , version 6 (22-10-2015)

Identifiants

  • HAL Id : hal-00979151 , version 4

Citer

Gildas Mazo, Stéphane Girard, Florence Forbes. Weighted least-squares inference based on dependence coefficients for multivariate copulas. 2014. ⟨hal-00979151v4⟩
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