21 April 2011: Efficient Estimation of Parameters in Marginals in Semipametric Multivariate Models

Valentyn Panchenko
University of New South Wales

Abstract:
Recent literature on semiparametric copula models focused on the
situation when the marginals are specified nonparametrically and the copula function is given a parametric form. For example, this setup is used in Chen, Fan and Tsyrennikov (2006) [Efficient Estimation of Semiparametric Multivariate Copula Models, JASA] who focus on efficient estimation of copula parameters. We consider a reverse situation when the marginals are specified parametrically and the copula function is modelled nonparametrically. This setting is no less relevant in applications. We use the method of sieve for efficient estimation of parameters in marginals and show its asymptotic distribution. Simulations suggest that the sieve MLE can be up to 40% more efficient relative to QMLE depending on the strength of dependence between marginals. An application using insurance company loss and expense data demonstrates empirical relevance of this setting.

Date: April 21, 2011
Time: 04:15 P.M.

Venue:
Seminar Room 2,
Indian Statistical Institute Delhi Centre,
7, S. J. S. Sansanwal Marg,
New Delhi-110016 (INDIA)

Location:

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