copula-models

Weighted residual empirical processes in semi-parametric copula adjusted for regression

Yue Zhao, Irène Gijbels and Ingrid Van Keilegom / 2022-12-07
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In this post we first review the concept of semi-parametric copula and the accompanying estimation procedure of pseudo-likelihood estimation (PLE). We then generalize the estimation problem to the setting where the copula signal is hidden in a semi- or non-parametric regression model. Under this…