Translator Disclaimer
August 2020 Copula estimation through wavelets
Francyelle L. Medina, Pedro A. Morettin, Clélia M. C. Toloi
Braz. J. Probab. Stat. 34(3): 439-463 (August 2020). DOI: 10.1214/19-BJPS449

Abstract

Recently some nonparametric estimation procedures have been proposed using kernels and wavelets to estimate the copula function. In this context, knowing that a copula function can be expanded in a wavelet basis, we propose a new nonparametric copula estimation procedure through wavelets for independent data and times series under an $\alpha $-mixing condition. The main feature of this estimator is that we make no assumptions on the data distribution and there is no need to use ARMA–GARCH modelling before estimating the copula. Convergence rates for the estimator were computed, showing the estimator consistency. Some simulation studies are presented, as well as analysis of real data sets.

Citation

Download Citation

Francyelle L. Medina. Pedro A. Morettin. Clélia M. C. Toloi. "Copula estimation through wavelets." Braz. J. Probab. Stat. 34 (3) 439 - 463, August 2020. https://doi.org/10.1214/19-BJPS449

Information

Received: 1 July 2017; Accepted: 1 May 2019; Published: August 2020
First available in Project Euclid: 20 July 2020

zbMATH: 07232907
MathSciNet: MR4124535
Digital Object Identifier: 10.1214/19-BJPS449

Rights: Copyright © 2020 Brazilian Statistical Association

JOURNAL ARTICLE
25 PAGES

This article is only available to subscribers.
It is not available for individual sale.
+ SAVE TO MY LIBRARY

SHARE
Vol.34 • No. 3 • August 2020
Back to Top