A note on minimum distance estimation of copula densities
AbstractThis paper introduces a minimum L1 distance estimate for parametric copula densities. It is shown that the expected L1 error of the estimate is within a given constant multiple of the best possible error plus an additive remainder term which is small under mild assumptions. The proof is based on an oracle inequality and a maximal inequality for the empirical copula process indexed by sets.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 73 (2005)
Issue (Month): 2 (June)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Biau, Gérard & Devroye, Luc, 2005. "Density estimation by the penalized combinatorial method," Journal of Multivariate Analysis, Elsevier, vol. 94(1), pages 196-208, May.
- Kallenberg, Wilbert C.M., 2008. "Modelling dependence," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 127-146, February.
- Hayette Gatfaoui, 2010. "Investigating the dependence structure between credit default swap spreads and the U.S. financial market," Annals of Finance, Springer, vol. 6(4), pages 511-535, October.
- Kallenberg, Wilbert C.M., 2009. "Estimating copula densities, using model selection techniques," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 209-223, October.
- Genest, Christian & Masiello, Esterina & Tribouley, Karine, 2009. "Estimating copula densities through wavelets," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 170-181, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.