Hybrid Copula Estimators
Methodology
2014-12-01 v2
Abstract
An extension of the empirical copula is considered by combining an estimator of a multivariate cumulative distribution function with estimators of the marginal cumulative distribution functions for marginal estimators that are not necessarily equal to the margins of the joint estimator. Such a hybrid estimator may be reasonable when there is additional information available for some margins in the form of additional data or stronger modelling assumptions. A functional central limit theorem is established and some examples are developed.
Cite
@article{arxiv.1405.2105,
title = {Hybrid Copula Estimators},
author = {Johan Segers},
journal= {arXiv preprint arXiv:1405.2105},
year = {2014}
}
Comments
17 pages