Identifiability and estimation of meta-elliptical copula generators
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Publication:110522
DOI10.1016/J.JMVA.2022.104962zbMATH Open1493.62270arXiv2106.12367OpenAlexW3175666318MaRDI QIDQ110522FDOQ110522
Authors: A. Derumigny, J.-D. Fermanian, Alexis Derumigny, Jean-David Fermanian 
Publication date: July 2022
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Abstract: Meta-elliptical copulas are often proposed to model dependence between the components of a random vector. They are specified by a correlation matrix and a map , called density generator. While the latter correlation matrix can easily be estimated from pseudo-samples of observations, the density generator is harder to estimate, especially when it does not belong to a parametric family. We give sufficient conditions to non-parametrically identify this generator. Several nonparametric estimators of are then proposed, by M-estimation, simulation-based inference, or by an iterative procedure available in the R package ElliptCopulas. Some simulations illustrate the relevance of the latter method.
Full work available at URL: https://arxiv.org/abs/2106.12367
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