Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

Nonparametric estimation of copulas and copula densities by orthogonal projections

Abstract : 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.
Document type :
Preprints, Working Papers, ...
Complete list of metadatas

https://hal-amu.archives-ouvertes.fr/hal-03100036
Contributor : Yves Ismaël Ngounou Bakam <>
Submitted on : Wednesday, January 6, 2021 - 2:22:37 PM
Last modification on : Thursday, January 7, 2021 - 3:37:02 AM

Links full text

Identifiers

  • HAL Id : hal-03100036, version 1
  • ARXIV : 2010.15351

Collections

Citation

Yves I. Ngounou Bakam, Denys Pommeret. Nonparametric estimation of copulas and copula densities by orthogonal projections. 2021. ⟨hal-03100036⟩

Share

Metrics

Record views

9