Hybrid copula estimators

Segers, Johan
(2015) Journal of Statistical Planning and Inference — Vol. 160, p. 23-34 (2015)

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Abstract
An extension of the empirical copula is considered by combining an estimator of a multivariate cumulative distribution function with estimators of the marginal cumulative distribution functions for marginal estimators that are not necessarily equal to the margins of the joint estimator. Such a hybrid estimator may be reasonable when there is additional information available for some margins in the form of additional data or stronger modelling assumptions. A functional central limit theorem is established and some examples are developed.
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Segers, J. (2015). Hybrid copula estimators. Journal of Statistical Planning and Inference, 160, 23-34. https://doi.org/10.1016/j.jspi.2014.11.006 (Original work published 2015)