IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-94-017-0061-0_12.html
   My bibliography  Save this book chapter

Conditions for the Asymptotic Semiparametric Efficiency of an Omnibus Estimator of Dependence Parameters in Copula Models

In: Distributions With Given Marginals and Statistical Modelling

Author

Listed:
  • Christian Genest

    (Université Laval, Département de mathématiques et de statistique)

  • Bas J. M. Werker

    (Tilburg University, Finance Group)

Abstract

Oakes (1994) described in broad terms an omnibus semiparametric procedure for estimating the dependence parameter in a copula model when marginal distributions are treated as (infinite-dimensional) nuisance parameters. The resulting estimator was subsequently shown to be consistent and normally distributed asymptotically (Genest et al. 1995, Shih and Louis 1995). Conditions under which it is also semiparametrically efficient in large samples are given. While these requirements are met for the normal copula model (Klaassen and Wellner 1997), it is argued that this is an exception rather than the norm.

Suggested Citation

  • Christian Genest & Bas J. M. Werker, 2002. "Conditions for the Asymptotic Semiparametric Efficiency of an Omnibus Estimator of Dependence Parameters in Copula Models," Springer Books, in: Carles M. Cuadras & Josep Fortiana & José A. Rodriguez-Lallena (ed.), Distributions With Given Marginals and Statistical Modelling, pages 103-112, Springer.
    • Handle: RePEc:spr:sprchp:978-94-017-0061-0_12
    DOI: 10.1007/978-94-017-0061-0_12
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-94-017-0061-0_12. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.