Nonparametric estimation of copulas and copula densities by orthogonal projections

Autor:	Bakam, Yves Ismaël Ngounou, Pommeret, Denys
Rok vydání:	2020
Předmět:	Mathematics - Statistics Theory Statistics - Applications Statistics - Methodology
Druh dokumentu:	Working Paper
Popis:	In this paper we study nonparametric estimators of copulas and copula densities. We first focus our study on a density copula estimator based on a polynomial orthogonal projection of the joint density. A new copula estimator is then deduced. Its asymptotic properties are studied: we provide a large functional class for which this construction is optimal in the minimax and maxiset sense and we propose a method selection for the smoothing parameter. An intensive simulation study shows the very good performance of both copulas and copula densities estimators which we compare to a large panel of competitors. A real dataset in actuarial science illustrates this approach. Comment: 42 pages, 6 figures, 11 tables
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2010.15351 Zobrazit plný text záznamu View this record from Arxiv