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UID:20250914T202636EDT-5334JkdNOV@132.216.98.100
DTSTAMP:20250915T002636Z
DESCRIPTION:Generalized simulated method-of-moments for copula parameters o
 f arbitrary dimension.\n\nIn this talk\, a new methodology for estimating 
 a vector of parameters of an arbitrary dimension in multivariate copula mo
 dels will be presented. The proposed estimator is based on the first p mom
 ents of the multivariate probability integral transformation that one can 
 associate to a given parametric copula model. An unbiased estimator of the
 se p moments is first described\, from which a method-of-moments estimator
  of the unknown vector of parameters is defined. In order that the method 
 be applicable even when explicit expressions for the theoretical moments a
 re not available\, a simulated version of the estimator is developed as we
 ll. Interestingly\, the latter can be performed as long as one is able to 
 simulate from a given copula model. The consistency and asymptotic normali
 ty of these estimators are formally established under standard and mild co
 nditions. The performance of these estimators in terms of bias and mean-sq
 uared errors is investigated through an extensive simulation study.\n
DTSTART:20180118T203000Z
DTEND:20180118T213000Z
LOCATION:CA\, QC\, Quebec\, J1K 2R1\, Université de Sherbrooke\, 2500 Boul.
  de l'Université
SUMMARY:Mohamed Belalia\, Département de mathématiques et statistique\, UQA
 M
URL:/mathstat/channels/event/mohamed-belalia-departeme
 nt-de-mathematiques-et-statistique-uqam-283825
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