mlsanityData to 14 Oct 2026

Nonparametric estimation of copulas and copula densities by orthogonal projections

arXiv 2010.15351 ↗First posted 29 Oct 2020math.ST stat.AP stat.MEcited by 3

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Abstract (arXiv)

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.

Key facts. Cited by 3 papers in the map (data through 14 Oct 2026). First posted on arXiv 29 Oct 2020.

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3 papers.