Approximations of copulas via transformed moments

DOI10.1007/S11009-022-09969-8MaRDI QIDQ2684963zbMATH OpenOpenAlexWikidataFDO

Authors Stéphane Loisel, Robert Mnatsakanov, Hansjörg Albrecher

Publication date 17 February 2023

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-022-09969-8

zbMATH Keywords

\(M\)-determinate distributioncopula functionmoment-recovered distributionuniform rate of approximation

Mathematics Subject Classification ID

Rate of convergence, degree of approximation (41A25) Nonparametric estimation (62G05) Density estimation (62G07) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• A note on minimum distance estimation of copula densities
• A note on the asymptotic behavior of the Bernstein estimator of the copula density
• Consistency of the beta kernel density function estimator
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• Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing
• Mathematical methods in image reconstruction
• Moment-recovered approximations of multivariate distributions: the Laplace transform inver\-sion
• Nonparametric estimation of copula functions for dependence modelling
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Cited in

(10)

• On a class of transformations of copulas and quasi-copulas
• A streaming algorithm for bivariate empirical copulas
• scientific article; zbMATH DE number 7447348 (Why is no real title available?)
• On grade transformation and its implications for copulas
• Comparison of increasing directionally convex transformations of random vectors with a common copula
• How to improve the fit of Archimedean copulas by means of transforms
• scientific article; zbMATH DE number 7604433 (Why is no real title available?)
• Moment-recovered approximations of multivariate distributions: the Laplace transform inver\-sion
• Reconstructions of piecewise continuous and discrete functions using moments
• On the distributional transform, Sklar's theorem, and the empirical copula process

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