A Legendre multiwavelets approach to copula density estimation
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Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Density estimation (62G07) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for wavelets (65T60)
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Cites work
- A note on minimum distance estimation of copula densities
- Adaptive solution of partial differential equations in multiwavelet bases
- An introduction to copulas.
- An introduction to frames and Riesz bases
- Approximation multivariate distribution with pair copula using the orthonormal polynomial and Legendre multiwavelets basis functions
- Comparing point and interval estimates in the bivariate \(t\)-copula model with application to financial data
- Derivatives and Fisher information of bivariate copulas
- Estimating copula densities through wavelets
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- scientific article; zbMATH DE number 2038794 (Why is no real title available?)
- Multiwavelet density estimation
- Numerical solution for the weakly singular Fredholm integro-differential equations using Legendre multiwavelets
- On a wavelet-based method for estimating the copula function
- Orthonormal bases of compactly supported wavelets
- Pair-copula constructions of multiple dependence
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Thresholding methods to estimate copula density
- Vines -- a new graphical model for dependent random variables.
- Wavelets, approximation, and statistical applications
Cited in
(10)- Thresholding methods to estimate copula density
- CLT for integrated square error of density estimators with censoring indicators missing at random
- Wavelet estimation of copula function based on censored data
- Approximation multivariate distribution with pair copula using the orthonormal polynomial and Legendre multiwavelets basis functions
- Copula Density Estimation Using Multiwavelets Based on the Multiresolution Analysis
- Wavelet estimation of copula density via thresholding methods under censoring
- Copulae: an overview and recent developments
- Non-parametric estimation techniques of factor copula model using proxies
- Pointwise wavelet estimation of copula density under censoring model
- Numerical solutions of integral equations using linear Legendre multiwavelets
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