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A note on minimum distance estimation of copula densities

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  • Biau, Gérard
  • Wegkamp, Marten
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    Abstract

    This 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.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-4FNW1HN-1/2/33f5681b942660c55f34f07a9d61496a
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 73 (2005)
    Issue (Month): 2 (June)
    Pages: 105-114

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    Handle: RePEc:eee:stapro:v:73:y:2005:i:2:p:105-114

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    Related research

    Keywords: Copula densities Empirical copula process Minimum distance estimation;

    References

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    1. Biau, Gérard & Devroye, Luc, 2005. "Density estimation by the penalized combinatorial method," Journal of Multivariate Analysis, Elsevier, vol. 94(1), pages 196-208, May.
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    Cited by:
    1. Kallenberg, Wilbert C.M., 2008. "Modelling dependence," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 127-146, February.
    2. 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.
    3. Genest, Christian & Masiello, Esterina & Tribouley, Karine, 2009. "Estimating copula densities through wavelets," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 170-181, April.
    4. Kallenberg, Wilbert C.M., 2009. "Estimating copula densities, using model selection techniques," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 209-223, October.

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