The finite sample properties of sparse M-estimators with pseudo-observations

DOI10.1007/s10463-021-00785-4OpenAlexW3156926958MaRDI QIDQ2075446

Benjamin Poignard, Jean-David Fermanian

Publication date: 14 February 2022

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-021-00785-4

zbMATH Keywords

copulaspseudo-observationsstatistical consistencynon-convex regularizer

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Identifiability and estimation of meta-elliptical copula generators

Uses Software

• spcov

Cites Work

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