Information bounds for Gaussian copulas

DOI10.3150/12-BEJ499zbMATH Open1321.62054arXiv1110.3572WikidataQ42940371 ScholiaQ42940371MaRDI QIDQ2448705FDOQ2448705

Authors: Xiaoyue Niu, Jon A. Wellner, Peter D. Hoff 

Publication date: 5 May 2014

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Often of primary interest in the analysis of multivariate data are the copula parameters describing the dependence among the variables, rather than the univariate marginal distributions. Since the ranks of a multivariate dataset are invariant to changes in the univariate marginal distributions, rank-based estimators are natural candidates for semiparametric copula estimation. Asymptotic information bounds for such estimators can be obtained from an asymptotic analysis of the rank likelihood, that is, the probability of the multivariate ranks. In this article, we obtain limiting normal distributions of the rank likelihood for Gaussian copula models. Our results cover models with structured correlation matrices, such as exchangeable or circular correlation models, as well as unstructured correlation matrices. For all Gaussian copula models, the limiting distribution of the rank likelihood ratio is shown to be equal to that of a parametric likelihood ratio for an appropriately chosen multivariate normal model. This implies that the semiparametric information bounds for rank-based estimators are the same as the information bounds for estimators based on the full data, and that the multivariate normal distributions are least favorable.

Full work available at URL: https://arxiv.org/abs/1110.3572

Recommendations

• Semiparametric Gaussian copula models: geometry and efficient rank-based estimation
• Extending the rank likelihood for semiparametric copula estimation
• Semiparametric estimation in copula models
• Semiparametric estimation in copulas with the same marginals
• Semiparametric estimation of the parameters of multivariate copulas

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12)

Cites Work

• Extending the rank likelihood for semiparametric copula estimation
• Efficient estimation in the bivariate normal copula model: Normal margins are least favourable
• Title not available (Why is that?)
• Probability for Statisticians
• Title not available (Why is that?)
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Testing and Estimation for a Circular Stationary Model
• Information and asymptotic efficiency in parametric-nonparametric models
• Likelihood methods in statistics
• Conditions for the asymptotic semiparametric efficiency of an omnibus estimator of dependence parameters in copula models
• Efficient Estimation of Semiparametric Multivariate Copula Models
• Title not available (Why is that?)
• On the preservation of local asymptotic normality under information loss
• Title not available (Why is that?)
• Title not available (Why is that?)
• Asymptotically uniformly most powerful tests in parametric and semiparametric models
• On the concept of contiguity
• On a Concept of Partial Sufficiency: L-Sufficiency
• Title not available (Why is that?)
• Estimation of interclass correlation under circular covariance

Cited In (12)

• Derivatives and Fisher information of bivariate copulas
• Learning causal structure from mixed data with missing values using Gaussian copula models
• Coordinatewise Gaussianization: Theories and Applications
• Inference for semiparametric Gaussian copula model adjusted for linear regression using residual ranks
• Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
• Extending the rank likelihood for semiparametric copula estimation
• Semiparametric Gaussian copula models: geometry and efficient rank-based estimation
• Information bounds for Gaussian copula parameter in stationary semiparametric Markov models
• On multivariate Gaussian copulas
• Model-based clustering of Gaussian copulas for mixed data
• INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
• Non-parametric estimation of copula based mutual information

This page was built for publication: Information bounds for Gaussian copulas

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2448705)