Nonparametric recursive estimation of the copula

DOI10.1016/j.spl.2020.108929zbMath1456.62095OpenAlexW3083797402MaRDI QIDQ826673

Felix Camirand Lemyre, Geoffrey 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

copulastochastic approximationasymptotic theorynonparametric estimationrecursive methods

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• A smoothing stochastic algorithm for quantile estimation
• Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
• The stochastic approximation method for the estimation of a multivariate probability density
• The stochastic approximation method for estimation of a distribution function
• On the efficiency of on-line density estimators
• On Asymptotic Normality in Stochastic Approximation
• Asymptotic Distribution of Stochastic Approximation Procedures
• A Stochastic Approximation Method

This page was built for publication: Nonparametric recursive estimation of the copula