242 citations · 778 across the 62 of their papers we have counts for
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stat.ME2013★ 22 cited
Semiparametric Gaussian copula models: Geometry and efficient rank-based estimation
Johan Segers, Ramon van den Akker, Bas J. M. Werker
We propose, for multivariate Gaussian copula models with unknown margins and structured correlation matrices, a rank-based, semiparametrically efficient estimator for the Euclidean…
stat.ME2013
Nonparametric estimation of the tree structure of a nested Archimedean copula
Johan Segers, Nathan Uyttendaele
One of the features inherent in nested Archimedean copulas, also called hierarchical Archimedean copulas, is their rooted tree structure. A nonparametric, rank-based method to esti…