Sparse M-estimators in semi-parametric copula models

arXiv2112.12351MaRDI QIDQ6386509

Benjamin Poignard, Jean-David Fermanian

Publication date: 22 December 2021

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

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