A semiparametric estimation procedure of dependence parameters in multivariate families of distributions. (English) Zbl 0831.62030

Summary: This paper investigates the properties of a semiparametric method for estimating the dependence parameters in a family of multivariate distributions. The proposed estimator, obtained as a solution of a pseudo-likelihood equation, is shown to be consistent, asymptotically normal and fully efficient at independence. A natural estimator of its asymptotic variance is proved to be consistent. Comparisons are made with alternative semiparametric estimators in the special case of D. G. Clayton’s [ibid. 65, 141-151 (1978; Zbl 0394.92021)] model for association in bivariate data.


62G05 Nonparametric estimation
62H12 Estimation in multivariate analysis
62E20 Asymptotic distribution theory in statistics
62G20 Asymptotic properties of nonparametric inference


Zbl 0394.92021
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