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Efficient Estimation in the Bivariate Normal Copula Model: Normal Margins Are Least Favourable
4 references·16 citing·47 second hop
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this work references cited by second hop

References

  • 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
  • 1986The Joy of Copulas: Bivariate Distributions with Uniform Marginals790 cited
  • 1986Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données412 cited
  • 1991Thirty Years of Copulas193 cited

Cited by

  • 2014Reducing Bias and Error in the Correlation Coefficient Due to Nonnormality196 cited
  • 2012Gaussian copula marginal regression182 cited
  • 2005Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection148 cited
  • 2013Parameter estimation for pair-copula constructions110 cited
  • 2010Comparison of three semiparametric methods for estimating dependence parameters in copula models101 cited
  • 2007Multivariate Survival Modelling: A Unified Approach with Copulas76 cited
  • 2009Efficient estimation of copula-based semiparametric Markov models71 cited
  • 2002Conditions for the Asymptotic Semiparametric Efficiency of an Omnibus Estimator of Dependence Parameters in Copula Models58 cited
  • 2000On the number of pure strategy Nash equilibria in random games45 cited
  • 2011Convexity of Chance Constraints with Dependent Random Variables: The Use of Copulae40 cited

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  • 2014Information bounds for Gaussian copulas36 cited
  • 2022Statistical Dependence: Beyond Pearson’s ρ34 cited
  • 2006Omnibus Goodness-of-Fit Tests for Copulas: A Review and a Power Study33 cited
  • 2014Copulas and Copula Models33 cited
  • 2006Discussion of “Copulas: Tales and facts”, by Thomas Mikosch33 cited
  • 2014Semiparametric Conditional Quantile Estimation Through Copula-Based Multivariate Models32 cited