Information bounds for Gaussian copula parameter in stationary semiparametric Markov models-Reference-Cited by-同舟云学术

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Information bounds for Gaussian copula parameter in stationary semiparametric Markov models

Published:2025-01 Issue: Volume:216 Page:110254
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Chen Xiaohong,Yi Yanping

Funder

Yale University Cowles Foundation for Research

National Natural Science Foundation of China

Publisher

Elsevier BV

Reference20 articles.

1. Copulas and temporal dependence;Beare;Econometrica,2010

2. Efficient and Adaptive Estimation for Semiparametric Models;Bickel,1993

3. Large sample sieve estimation of semi-nonparametric models;Chen,2007

4. Estimation of copula-based semiparametric time series models;Chen;J. Econometrics,2006

5. Improved estimation of semiparametric dynamic copula models with filtered nonstationarity;Chen;J. Econ.,2024

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