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
收藏
页码：1449 / 1467
页数：19
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