Parametric copula adjusted for non- and semiparametric regression
适用于非参数与半参数回归的参数化 Copula 估计
We consider a multivariate response regression model where each coordinate is described by a location-scale non- or semiparametric regression and where the dependence structure of the “noise term” is described by a parametric copula. Our goal is to estimate the associated Euclidean copula parameter, given a sample of the response and the covariate. In the absence of the copula sample, the usual oracle ranks are no longer computable. Instead, we study the normal scores…