Semiparametric estimation and variable selection for single‐index copula models
单指数 copula 模型的半参数估计与变量选择
Summary A copula with a flexibly dependence structure can capture complexity and heterogeneity in economic and financial time series. Based on the recently proposed single‐index copula, we propose a simultaneous variable selection and estimation procedure. This method allows for choosing the most relevant state variables by using a penalized estimation with large sample properties derived. Simulation results demonstrate the good performance of the method in selecting…