Article ID Journal Published Year Pages File Type
1148064 Journal of Statistical Planning and Inference 2015 12 Pages PDF
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
,