Estimating copula densities, using model selection techniques

DOI10.1016/j.insmatheco.2009.06.006zbMath1231.62055OpenAlexW2127550789MaRDI 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 functionLegendre polynomialscontamination familynonlinear correlation

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (2)

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

Uses Software

• QRM

Cites Work

• Goodness-of-fit tests for copulas: A review and a power study
• Goodness-of-fit tests for copulas
• Modelling dependence
• An introduction to copulas. Properties and applications
• Fitting bivariate loss distributions with copulas
• Copulas: Tales and facts (with discussion)
• A note on minimum distance estimation of copula densities
• Test Statistics Derived as Components of Pearson's Phi-Squared Distance Measure
• Data-Driven Version of Neyman's Smooth Test of Fit
• Data-Driven Smooth Tests When the Hypothesis Is Composite
• Data-Driven Rank Tests for Independence
• Understanding Relationships Using Copulas
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