Estimators based on trimmed Kendall’s tau in multivariate copula models

A common method of estimating the parameters of dependency in multivariate copula models is by maximum likelihood principle, termed as Inference From Marginals (IFM); see Joe (1997)  [13]. To avoid possible misspecification of the marginal distributions, some authors suggest rank-based procedures for estimating the parameters of dependency in a multivariate copula model. A standard approach for this problem is through maximization of the …