A note on minimum distance estimation of copula densities

DOI10.1016/J.SPL.2005.02.006MaRDI QIDQ2483877zbMATH OpenOpenAlexFDO

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

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)

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• Central limit theorems for empirical measures
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• On the Uniform Convergence of Relative Frequencies of Events to Their Probabilities
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Cited in

(12)

• Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study
• 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
• On minimal copulas under the concordance order
• Approximations of copulas via transformed moments
• A note on asymptotic normality of a copula function in regression model
• Modelling dependence
• Generalized simulated method-of-moments estimators for multivariate copulas
• A Legendre multiwavelets approach to copula density estimation
• Estimating copula densities through wavelets

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