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Efficient Estimation in the Bivariate Normal Copula Model: Normal Margins Are Least Favourable
Consider semi-parametric bivariate copula models in which the family of copula functions is parametrized by a Euclidean parameter of interest and in which the two unknown marginal distributions are the (inĀ®nite-dimensional) nuisance parameters.The ecient score for can be characterized in terms of the solutions of two coupled SturmĀ±Liouville equations.Where the ā¦