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math.ST2019
Maximum pseudo-likelihood estimation based on estimated residuals in copula semiparametric models
Marek Omelka, Šárka Hudecová, Natalie Neumeyer
This paper deals with a situation when one is interested in the dependence structure of a multidimensional response variable in the presence of a multivariate covariate. It is assu…
math.ST2009★ 128 cited
Improved kernel estimation of copulas: Weak convergence and goodness-of-fit testing
Marek Omelka, Irène Gijbels, Noël Veraverbeke
We reconsider the existing kernel estimators for a copula function, as proposed in Gijbels and Mielniczuk [Comm. Statist. Theory Methods 19 (1990) 445--464], Fermanian, Radulovič a…