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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Year of publication:	2005
Authors:	Biau, Gérard ; Wegkamp, Marten
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 73.2005, 2, p. 105-114
Publisher:	Elsevier
Keywords:	Copula densities Empirical copula process Minimum distance estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319937