Estimating copula densities through wavelets

Abstract : Wavelet analysis is used to construct a rank-based estimator of a copula density. The procedure, which can be easily implemented with ready-to-use wavelet packages, is based on an algorithm that handles boundary effects automatically. The resulting estimator provides a nonparametric benchmark for the selection of a parametric copula family. From a theoretical point of view, the estimation procedure is shown to be optimal in the minimax sense on a large functional class of regular copula densities. The approach is illustrated with actuarial and financial data.
Type de document :
Article dans une revue
Insurance: Mathematics and Economics, Elsevier, 2009, 44 (2), pp.170-181. <10.1016/j.insmatheco.2008.07.006>
Liste complète des métadonnées

https://hal.archives-ouvertes.fr/hal-00257425
Contributeur : Esterina Masiello <>
Soumis le : mardi 26 février 2008 - 21:50:31
Dernière modification le : jeudi 16 mars 2017 - 01:07:45
Document(s) archivé(s) le : mardi 21 septembre 2010 - 16:06:57

Fichier

Genest_Masiello_Tribouley.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

Collections

Citation

Christian Genest, Esterina Masiello, Karine Tribouley. Estimating copula densities through wavelets. Insurance: Mathematics and Economics, Elsevier, 2009, 44 (2), pp.170-181. <10.1016/j.insmatheco.2008.07.006>. <hal-00257425v2>

Partager

Métriques

Consultations de
la notice

147

Téléchargements du document

138