Nonparametric recursive estimation of the copula

DOI10.1016/J.SPL.2020.108929MaRDI QIDQ826673zbMATH OpenOpenAlexFDO

Authors Felix Camirand Lemyre, G. Decrouez

Publication date 6 January 2021

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

Full work available at URL https://doi.org/10.1016/j.spl.2020.108929

zbMATH Keywords

copulanonparametric estimationasymptotic theorystochastic approximationrecursive methods

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Stochastic approximation (62L20)

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• scientific article; zbMATH DE number 640295

Cites work

• scientific article; zbMATH DE number 3656971 (Why is no real title available?)
• A Stochastic Approximation Method
• A smoothing stochastic algorithm for quantile estimation
• Asymptotic Distribution of Stochastic Approximation Procedures
• Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
• On Asymptotic Normality in Stochastic Approximation
• On the efficiency of on-line density estimators
• The stochastic approximation method for estimation of a distribution function
• The stochastic approximation method for the estimation of a multivariate probability density

Cited in

(6)

• Non-parametric estimation of copula parameters: testing for time-varying correlation
• Non-parametric estimation of copula based mutual information
• Hybrid copula estimators
• Non-parametric copula estimation under bivariate censoring
• Dependence structure estimation using copula recursive trees
• Bayesian nonparametric estimation of a copula

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