Semiparametric Gaussian copula models: geometry and efficient rank-based estimation

DOI10.1214/14-AOS1244zbMATH Open1305.62115arXiv1306.6658OpenAlexW2018747856MaRDI QIDQ480976FDOQ480976

Bas J. M. Werker, Johan Segers, Ramon van den Akker

Publication date: 12 December 2014

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

Abstract: We propose, for multivariate Gaussian copula models with unknown margins and structured correlation matrices, a rank-based, semiparametrically efficient estimator for the Euclidean copula parameter. This estimator is defined as a one-step update of a rank-based pilot estimator in the direction of the efficient influence function, which is calculated explicitly. Moreover, finite-dimensional algebraic conditions are given that completely characterize efficiency of the pseudo-likelihood estimator and adaptivity of the model with respect to the unknown marginal distributions. For correlation matrices structured according to a factor model, the pseudo-likelihood estimator turns out to be semiparametrically efficient. On the other hand, for Toeplitz correlation matrices, the asymptotic relative efficiency of the pseudo-likelihood estimator can be as low as 20%. These findings are confirmed by Monte Carlo simulations. We indicate how our results can be extended to joint regression models.

Full work available at URL: https://arxiv.org/abs/1306.6658

zbMATH Keywords

ranksinfluence functioncorrelation matrixquadratic formscore functionadaptivitytangent space

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Measures of association (correlation, canonical correlation, etc.) (62H20) Theory of statistical experiments (62B15)

Cited In (14)

• Semiparametrically efficient rank-based inference for shape. II: Optimal \(R\)-estimation of shape
• Inference for semiparametric Gaussian copula model adjusted for linear regression using residual ranks
• Parametric copula adjusted for non- and semiparametric regression
• Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach
• Simultaneous inference in structured additive conditional copula regression models: a unifying Bayesian approach
• A Bayesian semiparametric Gaussian copula approach to a multivariate normality test
• Mixed binary-continuous copula regression models with application to adverse birth outcomes
• EM algorithm in Gaussian copula with missing data
• Information bounds for Gaussian copula parameter in stationary semiparametric Markov models
• Empirical likelihood based confidence regions for functional of copulas
• Copula Link-Based Additive Models for Right-Censored Event Time Data
• Bivariate copula additive models for location, scale and shape
• Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas
• Multiple-output quantile regression neural network

Uses Software

• idr

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