Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1148064 | Journal of Statistical Planning and Inference | 2015 | 12 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Johan Segers,