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Solving Estimating Equations With Copulas

MCML Authors

Thomas Nagler

Prof. Dr.

Principal Investigator

Computational Statistics & Data Science

Abstract

Thanks to their ability to capture complex dependence structures, copulas are frequently used to glue random variables into a joint model with arbitrary marginal distributions. More recently, they have been applied to solve statistical learning problems such as regression or classification. Framing such approaches as solutions of estimating equations, we generalize them in a unified framework. We can then obtain simultaneous, coherent inferences across multiple regression-like problems. We derive consistency, asymptotic normality, and validity of the bootstrap for corresponding estimators. The conditions allow for both continuous and discrete data as well as parametric, nonparametric, and semiparametric estimators of the copula and marginal distributions. The versatility of this methodology is illustrated by several theoretical examples, a simulation study, and an application to financial portfolio allocation. Supplementary materials for this article are available online.

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