This repository contains the Matlab code to replicate the basic Monte Carlo simulation study in
- Segers, J., R. Van den Akker, and B.J.M. Werker (2014). Semiparametric Gaussian copula models: geometry and efficient rank-based estimation. Annals of Statistics, 42(5), 1911-1940.
A technical supplement, containing the proofs, can be found here. See slides.pdf for an overview of the main results.
Use example.m to get started with the code.
Related work on efficient and rank-based estimation for semiparametric copula models:
- Einmahl, J.H.J. and R. Van den Akker (2011). Superefficient estimation of the marginals by exploiting knowledge on the copula, Journal of Multivariate Analysis 102, 1315-1319.
- Segers, J., R. Van den Akker, and B.J.M. Werker (2008). Improving upon the marginal empirical distribution function when the copula is known, working paper.
- Chapter 5 in Van den Akker, R. (2007), PhD thesis.