Three-stage semi-parametric estimation of TT-copulas: Asymptotics, finite-sample properties and computational aspects

A two-stage semi-parametric estimation procedure for a broad class of copulas satisfying minimal regularity conditions has been recently proposed. In addition, a three-stage semi-parametric estimation method based on Kendall’s tau in order to estimate the Student’s tt copula has also been designed. Its major advantage is to allow for greater computational tractability when dealing with high dimensional issues, where two-stage procedures are no more a viable choice. The asymptotic properties of this methodology are developed and its finite-sample behavior are examined via simulations. The advantages and disadvantages of this methodology are analyzed in terms of numerical convergence and positive definiteness of the estimated TT-copula correlation matrix.