A note on minimum distance estimation of copula densities

DOI10.1016/J.SPL.2005.02.006zbMATH Open1065.62103OpenAlexW2002615512MaRDI QIDQ2483877FDOQ2483877

Authors: Gérard Biau, Marten H. Wegkamp 

Publication date: 1 August 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2005.02.006

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zbMATH Keywords

maximal inequalityempirical copula processesCopula densitiesEmpirical copula processMinimum distance estimation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12)

Cites Work

• Weak convergence and empirical processes. With applications to statistics
• An introduction to copulas. Properties and applications
• Weak convergence of empirical copula processes
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• Estimation of copula-based semiparametric time series models
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• The tight constant in the Dvoretzky-Kiefer-Wolfowitz inequality
• On the Uniform Convergence of Relative Frequencies of Events to Their Probabilities
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• Asymptotic distributions of multivariate rank order statistics
• Combinatorial methods in density estimation
• Rates of convergence of minimum distance estimators and Kolmogorov's entropy
• Central limit theorems for empirical measures
• A Note on Density Model Size Testing
• A note on penalized minimum distance estimation in nonparametric regression
• Density estimation by the penalized combinatorial method
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• Estimation and selection procedures in regression: anL₁approach

Cited In (12)

• Estimating copula densities, using model selection techniques
• Some developments in semiparametric statistics
• Minimum Hellinger distance estimation for bivariate samples and time series with applications to nonlinear regression and copula-based models
• Copula representation of bivariate \(L\)-moments: a new estimation method for multiparameter two-dimensional copula models
• A note on asymptotic normality of a copula function in regression model
• On minimal copulas under the concordance order
• Approximations of copulas via transformed moments
• Generalized simulated method-of-moments estimators for multivariate copulas
• Modelling dependence
• A Legendre multiwavelets approach to copula density estimation
• Estimating copula densities through wavelets
• Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study

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