Solving Estimating Equations With Copulas

Thibault Vatter (Columbia University)
Organisation
Econometrics
Start date

Thursday, 30 Apr 2020, 16:00

End date

Thursday, 30 Apr 2020, 17:00

Room
Polak 2-14
Building
Polak Building
Location
Campus Woudestein
Spoken Language
English

Thanks to their ability to capture complex dependence structures, copulas are frequently used to glue random variables into a joint model with arbitrary one-dimensional margins.

More recently, they have been applied to solve statistical learning problems such as regression or classification. Framing such approaches as solutions of estimating equations, we generalize them in a unified framework. We derive consistency, asymptotic normality, and validity of the bootstrap for copula-based Z-estimators. The conditions allow for both continuous and discrete data as well as parametric, nonparametric, and semiparametric estimators of the copula and marginal distributions. The versatility of this methodology is illustrated through several theoretical and numerical examples.

Organisors

dr. (Maria) M Grith
dr. (Mikhail) M Zhelonkin
More information

Secretariat Econometrics

Email: eb-secr@ese.eur.nl
Room: ET-21/ET-22
Phone: 010-408 1259/1264