Copula estimation through wavelets

DOI10.1214/19-BJPS449OpenAlexW3044501532WikidataQ122112941 ScholiaQ122112941MaRDI QIDQ783265

Francyelle L. Medina, Clélia M. C. Toloi, Pedro Alberto Morettin

Publication date: 12 August 2020

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1595232021

zbMATH Keywords

copulawaveletsnonparametric estimation\(\alpha\)-mixing processes

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Central limit and other weak theorems (60F05)

Uses Software

• Matlab
• MICRONDE
• Wavelet Toolbox

Cites Work

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• A review of copula models for economic time series
• Estimating copula densities through wavelets
• Thresholding methods to estimate copula density
• Covariance inequalities for strongly mixing processes
• A Glivenko-Cantelli lemma and weak convergence for empirical processes of associated sequences
• Wavelets, approximation, and statistical applications
• On the subspaces of \(L^p\) \((p > 2)\) spanned by sequences of independent random variables
• Asymptotic Minimax Character of the Sample Distribution Function and of the Classical Multinomial Estimator
• Empirical estimation of tail dependence using copulas: application to Asian markets
• Wavelet Estimation of Copulas for Time Series
• Convergence of Distributions Generated by Stationary Stochastic Processes

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