Efficient estimation of copula-based semiparametric Markov models

DOI10.1214/09-AOS719zbMath1191.62140arXiv0901.0751MaRDI QIDQ1043729

Yanping Yi, Wei-Biao Wu, Xiaohong Chen

Publication date: 9 December 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.0751

zbMATH Keywords

copulavalue-at-riskgeometric ergodicitysemiparametric efficiencytail dependencenonlinear Markov modelssieve likelihood ratio statisticssieve MLE

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

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Uses Software

• QRM

Cites Work

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