Kim, Gunky; Silvapulle, Mervyn J.; Silvapulle, Paramsothy - Department of Econometrics and Business Statistics, … - 2007
A semiparametric method is studied for estimating the dependence parameter and the joint distribution of the error term in a class of multivariate time series models when the marginal distributions of the errors are unknown. This method is a natural extension of Genest et al. (1995a) for...