Estimation of Copulas via Maximum Mean Discrepancy
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Publication:6077589
DOI10.1080/01621459.2021.2024836arXiv2010.00408OpenAlexW4205266358MaRDI QIDQ6077589FDOQ6077589
Authors: Pierre Alquier, Badr-Eddine Chérief-Abdellatif, Alexis Derumigny, Jean-David Fermanian 
Publication date: 18 October 2023
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Abstract: This paper deals with robust inference for parametric copula models. Estimation using Canonical Maximum Likelihood might be unstable, especially in the presence of outliers. We propose to use a procedure based on the Maximum Mean Discrepancy (MMD) principle. We derive non-asymptotic oracle inequalities, consistency and asymptotic normality of this new estimator. In particular, the oracle inequality holds without any assumption on the copula family, and can be applied in the presence of outliers or under misspecification. Moreover, in our MMD framework, the statistical inference of copula models for which there exists no density with respect to the Lebesgue measure on , as the Marshall-Olkin copula, becomes feasible. A simulation study shows the robustness of our new procedures, especially compared to pseudo-maximum likelihood estimation. An R package implementing the MMD estimator for copula models is available.
Full work available at URL: https://arxiv.org/abs/2010.00408
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Cited In (7)
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- Maximal coupling of empirical copulas for discrete vectors
- Matching the grade correlation coefficient using a copula with maximum disorder
- Copulas with maximum entropy
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