Geodesic
Semiparametric estimation of the parameters of multivariate copulas
Kybernetika, Tome 45 (2009) no. 6, pp. 972-991.

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In the paper we investigate properties of maximum pseudo-likelihood estimators for the copula density and minimum distance estimators for the copula. We derive statements on the consistency and the asymptotic normality of the estimators for the parameters.
Classification : 62G07, 62G20, 62H12
Keywords: multivariate density estimation; copula; maximum likelihood estimators; minimum distance estimators 
@article{KYB_2009__45_6_a6,
     author = {Liebscher, Eckhard},
     title = {Semiparametric estimation of the parameters of multivariate copulas},
     journal = {Kybernetika},
     pages = {972--991},
     publisher = {mathdoc},
     volume = {45},
     number = {6},
     year = {2009},
     mrnumber = {2650077},
     zbl = {1186.62076},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2009__45_6_a6/}
}
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Liebscher, Eckhard. Semiparametric estimation of the parameters of multivariate copulas. Kybernetika, Tome 45 (2009) no. 6, pp. 972-991. http://geodesic.mathdoc.fr/item/KYB_2009__45_6_a6/