Non-parametric estimation techniques of factor copula model using proxies

DOI10.1007/S11222-026-10830-YMaRDI QIDQ6849217zbMATH OpenFDO

Authors Bahareh Ghanbari, Pavel Krupskii, Laleh Tafakori, Yan Wang

Publication date 5 March 2026

Published in Statistics and Computing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

tail dependenceproxy variablesnon-parametric estimationfactor copula

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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