منابع مشابه
cient Estimation in the Bivariate Normal Copula
Consider semiparametric bivariate copula models in which the family of copula functions is parametrized by a Euclidean parameter of interest and in which the two unknown marginal distributions are the in nite dimensional nuisance parameters The e cient score for can be characterized in terms of the solutions of two coupled Sturm Liouville equations In case the family of copula functions corresp...
متن کاملEfficient Estimation in the Bivariate Normal Copula Model: Normal Margins are Least-Favorable
Consider semiparametric bivariate copula models in which the family of copula functions is parametrized by a Euclidean parameter θ of interest and in which the two unknown marginal distributions are the (infinite dimensional) nuisance parameters. The efficient score for θ can be characterized in terms of the solutions of two coupled Sturm-Liouville equations. In case the family of copula functi...
متن کاملEfficient Estimation in the Bivariate Normal Copula Model: Normal Margins Are Least Favourable
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متن کاملTest of symmetry for semiparametric bivariate copula
The copula function is a multivariate distribution whose marginal distributions are uniformly distributed on the interval [0,1], this function called copula that ties the joint and the margins together. One important class of copula models is that of semiparametric copula models. In this paper, a semiparametric copula and its properties are introduced also a test of symmetry for semiparametric ...
متن کاملEstimating Bivariate Tail: a copula based approach
This paper deals with the problem of estimating the tail of a bivariate distribution function. To this end we develop a general extension of the POT (PeaksOver-Threshold) method, mainly based on a two-dimensional version of the Pickands-Balkema-de Haan Theorem. We introduce a new parameter that describes the nature of the tail dependence, and we provide a way to estimate it. We construct a two-...
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ژورنال
عنوان ژورنال: Science China Mathematics
سال: 2016
ISSN: 1674-7283,1869-1862
DOI: 10.1007/s11425-015-5114-1