A note on minimum distance estimation of copula densities
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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Volume (Year): 73 (2005)
Issue (Month): 2 (June)
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- Biau, Gérard & Devroye, Luc, 2005. "Density estimation by the penalized combinatorial method," Journal of Multivariate Analysis, Elsevier, vol. 94(1), pages 196-208, May.