Semiparametric estimation in copula models

The author recalls the limiting behaviour of the empirical copula process and applies it to prove some asymptotic properties of a minimum distance estimator for a Euclidean parameter in a copula model. The estimator in question is semiparametric in that no knowledge of the marginal distributions is necessary. The author also proposes another semiparametric estimator which he calls "rank approximate Z-estimator" and whose asymptotic normality he derives. He further presents Monte Carlo simulation results for the comparison of various estimators in four well-known bivariate copula models.