Hybrid Copula Estimators

2014/05/08 by Segers, Johan
#62G20 #62G30 #FOS: Computer and information sciences #Methodology (stat.ME)

paper · doi:10.48550/arxiv.1405.2105

Abstract

An extension of the empirical copula is considered by combining an estimator of a multivariate cumulative distribution function with estimators of the marginal cumulative distribution functions for marginal estimators that are not necessarily equal to the margins of the joint estimator. Such a hybrid estimator may be reasonable when there is additional information available for some margins in the form of additional data or stronger modelling assumptions. A functional central limit theorem is established and some examples are developed.

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