Semiparametric regression estimation in copula models

被引：3

作者：

Bagdonavicius, Vilijandas

Malov, Sergey V.

Nikulin, Mikhail S.

机构：

[1] St Petersburg State Univ, Dept Math & Mech, St Petersburg 198504, Russia

[2] Univ Vilnius, Dept Stat, Vilnius, Lithuania

[3] Univ Bordeaux 2, F-33076 Bordeaux, France

[4] RAS, VA Steklov Math Inst, Lab Stat Methods, St Petersburg, Russia

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2006年 / 35卷 / 08期

关键词：

copula; generalized additive-multiplicative model; multivariate rank statistics; semiparametric copulas; transfer functional;

D O I：

10.1080/03610920600637297

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider some methods of semiparametric regression estimation in multivariate models when the common distribution function is represented using a copula and the marginals satisfy a generalized regression model using a transfer functional. Sufficient conditions for consistency and joint asymptotic normality of the finite-dimensional parameters are obtained.

引用

页码：1449 / 1467

页数：19

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