Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known
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References listed on IDEAS
- Chen, Xiaohong & Fan, Yanqin & Tsyrennikov, Viktor, 2006.
"Efficient Estimation of Semiparametric Multivariate Copula Models,"
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More about this item
Keywordsindependence copula; nonparametric maximum likelihood estimator; score function; semiparametric efficiency; tangent space;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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