Abstract Details
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Activity Number:
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253
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Type:
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Contributed
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Date/Time:
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Monday, August 5, 2013 : 2:00 PM to 3:50 PM
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Sponsor:
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SSC
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| Abstract - #308593 |
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Title:
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Nonparametric Estimation of Copula by Empirical Copula Spline Smoothing
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Author(s):
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Ayi Ajavon*+ and François Perron
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Companies:
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and Université de Montreal
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Keywords:
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copulas ;
density ;
nonparametrics
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Abstract:
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We propose a bona fide estimator of the copula based on spline smoothing of the empirical copula. We deduce an estimator of the copula density that is a copula density . Our estimator reaches rate of convergence $ n ^ {-\ frac {1} {d+ 2}} $ which is the minimax rate of convergence in estimation of densities whose derivatives of first order are bounded; $ n$ is the number of observation and $d$ the dimension of the space.
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Authors who are presenting talks have a * after their name.
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