Event
Bruno R茅millard, HEC Montr茅al
Wednesday, February 7, 2018 15:30to16:30
Universit茅 de Sherbrooke, 2500 Boul. de l'Universit茅, Sherbrooke, QC, J1K 2R1, CA
Inference methods for the estimation of the parameter of a copula family.
Inference methods are proposed for the estimation of the parameter of a copula family when the unknown marginal distributions are mixtures of discrete and absolutely continuous distribution functions. Under smoothness assumptions, the estimation errors are shown to be Gaussian and their variance can be estimated.