Efficient estimation in the bivariate normal copula model: Normal margins are least favourable

Bernoulli

Volumn 3, Issue 1, 1997, Pages 55-77

  Klaassen, Chris A J ^a   Wellner, Jon A ^b  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

^b UNIVERSITY OF WASHINGTON   (United States)

Author keywords

Bivariate normal; Copula models; Correlation; Coupled differential equations; Information; Maximum correlation; Normal scores; Projection equations; Rank correlation; Semi parametric model; Sturm Liouville equations

Indexed keywords

EID: 0002478338     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.2307/3318652     Document Type: Article

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