Identifiability and inference for copula-based semiparametric models for random vectors with arbitrary marginal distributions

TL;DR

This paper investigates the identifiability and estimation of copula-based multivariate models with unknown, arbitrary margins, proposing new pseudo-likelihood methods and demonstrating their effectiveness through theoretical results and numerical experiments.

Contribution

It introduces estimation techniques for copula models with arbitrary margins, extending known convergence results and providing practical tools for large datasets.

Findings

Estimation methods are effective for unknown, arbitrary margins.

Asymptotic normality of estimators is established.

Numerical experiments confirm finite sample performance.

Abstract

In this paper, we study the identifiability and the estimation of the parameters of a copula-based multivariate model when the margins are unknown and are arbitrary, meaning that they can be continuous, discrete, or mixtures of continuous and discrete. When at least one margin is not continuous, the range of values determining the copula is not the entire unit square and this situation could lead to identifiability issues that are discussed here. Next, we propose estimation methods when the margins are unknown and arbitrary, using pseudo log-likelihood adapted to the case of discontinuities. In view of applications to large data sets, we also propose a pairwise composite pseudo log-likelihood. These methodologies can also be easily modified to cover the case of parametric margins. One of the main theoretical result is an extension to arbitrary distributions of known convergence results of rank-based statistics when the margins are continuous. As a by-product, under smoothness assumptions, we obtain that the asymptotic distribution of the estimation errors of our estimators are Gaussian. Finally, numerical experiments are presented to assess the finite sample performance of the estimators, and the usefulness of the proposed methodologies is illustrated with a copula-based regression model for hydrological data. The proposed estimation is implemented in the R package CopulaInference, together with a function for checking identifiability.