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.
DOI : 10.1051/ps/2015014
Keywords: Partial derivatives, singular component, weighted least-squares, method of moments, dependence coefficients, parametric inference, multivariate copulas
Mazo, Gildas 1 ; Girard, Stéphane 1 ; Forbes, Florence 1
@article{PS_2015__19__746_0,
author = {Mazo, Gildas and Girard, St\'ephane and Forbes, Florence},
title = {Weighted least-squares inference for multivariate copulas based on dependence coefficients},
journal = {ESAIM: Probability and Statistics},
pages = {746--765},
year = {2015},
publisher = {EDP Sciences},
volume = {19},
doi = {10.1051/ps/2015014},
zbl = {1392.62157},
language = {en},
url = {https://www.numdam.org/articles/10.1051/ps/2015014/}
}
TY - JOUR AU - Mazo, Gildas AU - Girard, Stéphane AU - Forbes, Florence TI - Weighted least-squares inference for multivariate copulas based on dependence coefficients JO - ESAIM: Probability and Statistics PY - 2015 SP - 746 EP - 765 VL - 19 PB - EDP Sciences UR - https://www.numdam.org/articles/10.1051/ps/2015014/ DO - 10.1051/ps/2015014 LA - en ID - PS_2015__19__746_0 ER -
%0 Journal Article %A Mazo, Gildas %A Girard, Stéphane %A Forbes, Florence %T Weighted least-squares inference for multivariate copulas based on dependence coefficients %J ESAIM: Probability and Statistics %D 2015 %P 746-765 %V 19 %I EDP Sciences %U https://www.numdam.org/articles/10.1051/ps/2015014/ %R 10.1051/ps/2015014 %G en %F PS_2015__19__746_0
Mazo, Gildas; Girard, Stéphane; Forbes, Florence. Weighted least-squares inference for multivariate copulas based on dependence coefficients. ESAIM: Probability and Statistics, Tome 19 (2015), pp. 746-765. doi: 10.1051/ps/2015014
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