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À propos de : Weighted least-squares inference for multivariate copulas based on dependence coefficients        

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  • Weighted least-squares inference for multivariate copulas based on dependence coefficients
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  • In this paper, we address the issue of estimating the parameters of general multivariate copulas, that is, copulas whose partial derivatives may not exist. To this aim, we consider a weighted least-squares estimator based on dependence coefficients, and establish its consistency and asymptotic normality. The estimator’s performance on finite samples is illustrated on simulations and a real dataset.
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  • ps150014
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  • © EDP Sciences, SMAI, 2015
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  • EDP Sciences, SMAI
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