Asymptotic efficiency of the two-stage estimation method for copula-based models

DOI10.1016/J.JMVA.2004.06.003zbMath1066.62061OpenAlexW1972882514MaRDI QIDQ2486000

Publication date: 5 August 2005

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2004.06.003

zbMATH Keywords

Fréchet bounds Copula Estimating or inference functions Generalized extreme value Latent value models Multivariate non-normal

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12)

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