Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These … all scale-free temporal dependence and tail dependence of the processes. The Markov models generated via tail dependent … biases and smaller variances than the two-step estimator for Markov models generated by Clayton, Gumbel and other copulas …