The finite sample properties of sparse M-estimators with pseudo-observations

DOI10.1007/S10463-021-00785-4MaRDI QIDQ2075446zbMATH OpenOpenAlexFDO

Authors Benjamin Poignard, Jean-David Fermanian

Publication date 14 February 2022

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-021-00785-4

zbMATH Keywords

copulasnon-convex regularizerpseudo-observationsstatistical consistency

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(2)

• Identifiability and estimation of meta-elliptical copula generators
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Describes a project that uses

Uses Software

• spcov

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