Superefficient estimation of the marginals by exploiting knowledge on the copula

John Einmahl and Ramon van den Akker

Journal of Multivariate Analysis, 2011, vol. 102, issue 9, 1315-1319

Abstract: We consider the problem of estimating the marginals in the case where there is knowledge on the copula. If the copula is smooth, it is known that it is possible to improve on the empirical distribution functions: optimal estimators still have a rate of convergence n-1/2, but a smaller asymptotic variance. In this paper we show that for non-smooth copulas it is sometimes possible to construct superefficient estimators of the marginals: we construct both a copula and, exploiting the information our copula provides, estimators of the marginals with the rate of convergence logn/n.

Keywords: Copula; Estimation; of; marginals; Superefficient; estimation (search for similar items in EconPapers)
Date: 2011
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Working Paper: Superefficient Estimation of the Marginals by Exploiting Knowledge on the Copula (2010)
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