Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas

Abstract

We study the adaptive estimation of copula correlation matrix for the semi-parametric elliptical copula model. In this context, the correlations are connected to Kendall’s tau through a sine function transformation. Hence, a natural estimate for is the plug-in estimator ̂ with Kendall’s tau statistic. We first obtain a sharp bound on the operator norm of… (More)

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