Estimating copula densities, using model selection techniques

DOI10.1016/j.insmatheco.2009.06.006zbMath1231.62055MaRDI QIDQ659123

Wilbert C. M. Kallenberg

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.06.006

zbMATH Keywords

penalty function; Legendre polynomials; contamination family; nonlinear correlation

Mathematics Subject Classification ID

62G07: Density estimation

62H12: Estimation in multivariate analysis

62H20: Measures of association (correlation, canonical correlation, etc.)

Related Items

Testing serial independence via density-based measures of divergence, Validation of positive quadrant dependence

Uses Software

• QRM

Cites Work

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