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Residual-based copula parameter estimation
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 Title & Authors
Residual-based copula parameter estimation
Na, Okyoung; Kwon, Sunghoon;
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This paper considers we consider the estimation of copula parameters based on residuals in stochastic regression models. We prove that a semiparametric estimator using residual empirical distributions is consistent under some conditions and apply the results to the copula-ARMA model. We provide simulation results for illustration.
copula function;stochastic regression model;semiparametric estimation;residual empirical distribution;copula-ARMA model;AR approximation;
 Cited by
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