Kybernetika 45 no. 6, 972-991, 2009

Semiparametric Estimation of the Parameters of Multivariate Copulas

Eckhard Liebscher

Abstract:

In the paper we investigate properties of maximum pseudo-likelihood estimators for the copula density and minimum distance estimators for the copula. We derive statements on the consistency and the asymptotic normality of the estimators for the parameters.

Keywords:

copula, multivariate density estimation, maximum likelihood estimators, minimum distance estimators

Classification:

62H12