C. Genest et al., A SEMIPARAMETRIC ESTIMATION PROCEDURE OF DEPENDENCE PARAMETERS IN MULTIVARIATE FAMILIES OF DISTRIBUTIONS, Biometrika, 82(3), 1995, pp. 543-552
Citations number
20
Categorie Soggetti
Mathematical Methods, Biology & Medicine","Statistic & Probability
This paper investigates the properties of a semiparametric method for
estimating the dependence parameters in a family of multivariate distr
ibutions. The proposed estimator, obtained as a solution of a pseudo-l
ikelihood equation, is shown to be consistent, asymptotically normal a
nd fully efficient at independence. A natural estimator of its asympto
tic variance is proved to be consistent. Comparisons are made with alt
ernative semiparametric estimators in the special case of Clayton's mo
del for association in bivariate data.