As Prof. Mikosch correctly points out, there exists very little sound statistical theory on modelling dependence using copulas. In this contribution, an open problem is presented concerning the efficient estimation of the parameter of a copula when no parametric assumptions are made regarding the marginal distributions.
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Intended as a contribution to the discussion of the paper by T. Mikosch, “Copulas: Tales and Facts,” at the occasion of the 4th International Conference on Extreme Value Analysis, Gothenburg, August 15–19, 2005.
Supported by a VENI grant of The Netherlands Organization for Scientific Research (NWO).
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Segers, J. Discussion of “Copulas: Tales and facts”, by Thomas Mikosch. Extremes 9, 51–53 (2006). https://doi.org/10.1007/s10687-006-0023-x
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DOI: https://doi.org/10.1007/s10687-006-0023-x