Superefficient estimation of the marginals by exploiting knowledge on the copula
AbstractWe consider the problem of estimating the marginals in the case where there is knowledge on the copula. If the copula is smooth, it is known that it is possible to improve on the empirical distribution functions: optimal estimators still have a rate of convergence n-1/2, but a smaller asymptotic variance. In this paper we show that for non-smooth copulas it is sometimes possible to construct superefficient estimators of the marginals: we construct both a copula and, exploiting the information our copula provides, estimators of the marginals with the rate of convergenceÂ logn/n.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 102 (2011)
Issue (Month): 9 (October)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Other versions of this item:
- Einmahl, J.H.J. & Akker, R. van den, 2010. "Superefficient Estimation of the Marginals by Exploiting Knowledge on the Copula," Discussion Paper 2010-120, Tilburg University, Center for Economic Research.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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- Akker, R. van den, 2007. "Integer-Valued Time Series," Open Access publications from Tilburg University urn:nbn:nl:ui:12-306632, Tilburg University.
- Xiaohong Chen & Yanqin Fan & Victor Tsyrennifov, 2004.
"Efficient Estimation of Semiparametric Multivariate Copula Models,"
Vanderbilt University Department of Economics Working Papers
0420, Vanderbilt University Department of Economics.
- Chen, Xiaohong & Fan, Yanqin & Tsyrennikov, Viktor, 2006. "Efficient Estimation of Semiparametric Multivariate Copula Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1228-1240, September.
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