parameter is shown by a constant horizontal line. The “local” 3 choice of copula is performed via an adaptive estimation method … based on Spokoiny (2007). The adaptive estimation is based on the assumption of local homogeneity: for every time point … three possible copulae estimation procedures. The adaptive estimation and the moving window approach are presented in …

estimate. This strategy is followed virtually uniformly in the adaptive estimation literature, and we follow it here. It leads … the paper the prime denotes di�erentiation. The bulk of work on adaptive estimation uses kernel estimates of f and f0 … details for the adaptive estimation of our 0, consider the n 1 vector e( ) = (e1( );:::;en( ))T = (I W)y X ; (2.10) for …

non-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation …

misspecification for interval censored data. We explore the application of partially adaptive estimation, which builds on the MLE … nature of our proposed partially adaptive estimation technique significantly reduces estimator bias and improves efficiency …

non-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation …