Sparse M-estimators in semi-parametric copula models
Sparse M-estimators in semi-parametric copula models
We study the large-sample properties of sparse M-estimators in the presence of pseudo-observations. Our framework covers a broad class of semi-parametric copula models, for which the marginal distributions are unknown and replaced by their empirical counterparts. It is well known that the latter modification significantly alters the limiting laws compared …