Hybrid copula estimators

DOI10.1016/J.JSPI.2014.11.006MaRDI QIDQ2344382zbMATH OpenOpenAlexFDO

Authors Johan Segers

Publication date 15 May 2015

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.2105

zbMATH Keywords

copulaempirical processfunctional delta methodinfluence functionmissing data

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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.

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Cited in

(8)

• On the weak convergence of the empirical conditional copula under a simplifying assumption
• Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework
• Goodness-of-fit testing for copulas: a distribution-free approach
• A copula-based hierarchical hybrid loss distribution
• An Edgeworth approximation for the calibration of a Lévy hybrid model using the physical measure
• Copulas checker-type approximations: application to quantiles estimation of sums of dependent random variables
• Smooth copula-based generalized extreme value model and spatial interpolation for extreme rainfall in Central Eastern Canada
• Comonotonic-based time series clustering with constraints: a review and a conceptual framework

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