Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 2 (MARCH 2018), pp. 409-432 (24 pages) The paper presents a novel non-linear framework for the construction ...
We propose, for multivariate Gaussian copula models with unknown margins and structured correlation matrices, a rank-based, semiparametrically efficient estimator for the Euclidean copula parameter.
QUANT models and their architects are so misunderstood, often by people working in finance. It pains me, though I am biased. I spent the better part of a decade devoted to studying elegant (and ...
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