We study the large sample properties of sparse M-estimators in the presence of pseudo-observations. Our framework covers a broad class of semi-parametric copula models, for which the marginal distributions are unknown and replaced by their empirical counterparts. It is well known that the latter modification significantly alters the limiting laws compared to usual M-estimation. We establish the consistency and the asymptotic normality of our sparse penalized M-estimator and we prove the asymptotic oracle property with pseudo-observations, including the case when the number of parameters is diverging. Our framework allows to manage copula based loss functions that are potentially unbounded. As additional results, we state the weak limit of multivariate rank statistics and the weak convergence of the empirical copula process indexed by such maps. We apply our inference method to copula vine models and copula regressions. The numerical results emphasize the relevance of this methodology in the context of model misspecifications.
翻译:我们研究的是在假观察下稀有的测算器的大量样本特性。我们的框架包括广泛的半参数类同模型,其边际分布未知,由经验性对应方取而代之。众所周知,后者的修改与通常的测算相比,大大改变了限制性法律。我们确定我们稀有、受处罚的测算器的一致性和无症状的正常性,并证明伪观察的无症状或触摸属性,包括参数数量差异的情况。我们的框架允许管理基于相干层的、可能不受约束的损失功能。作为额外的结果,我们指出多变量级统计的薄弱限度,以及根据这些地图编制索引的经验性相交点过程的薄弱趋同性。我们用我们的推论方法对椰树脂模型和椰树回归进行推理。数字结果强调这一方法在模型误差中的相关性。