• Corpus ID: 55577863

Solving estimating equations with copulas

@article{Nagler2018SolvingEE,
  title={Solving estimating equations with copulas},
  author={Thomas Nagler and Thibault Vatter},
  journal={arXiv: Methodology},
  year={2018}
}

• T. Nagler, Thibault Vatter
• Published 31 January 2018
• Computer Science, Mathematics
• arXiv: Methodology

Thanks to their aptitude to capture complex dependence structures, copulas are frequently used to glue random variables into a joint model with arbitrary one-dimensional margins. More recently, they have been applied to solve statistical learning problems such as regressions or classification. Framing such approaches as solutions of estimating equations, we generalize them in a unified framework. We derive consistency, asymptotic normality, and validity of the bootstrap for copula-based Z-estimators. We further illustrate the versatility such estimators through theoretical and simulated examples.