Estimating copula densities through wavelets
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 non-parametric 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.
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|Authors:||Genest, Christian ; Masiello, Esterina ; Tribouley, Karine|
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 44.2009, 2, p. 170-181
|Subject:||Copulas Non-parametric estimation Ranks Wavelets|