Estimating copula densities through wavelets

Christian Genest, Esterina Masiello and Karine Tribouley

Insurance: Mathematics and Economics, 2009, vol. 44, issue 2, pages 170-181

Abstract: Wavelet analysis is used to construct a rank-based estimator of a copula density. The procedure, which can be easily implemented with ready-to-use wavelet packages, is based on an algorithm that handles boundary effects automatically. The resulting estimator provides a non-parametric benchmark for the selection of a parametric copula family. From a theoretical point of view, the estimation procedure is shown to be optimal in the minimax sense on a large functional class of regular copula densities. The approach is illustrated with actuarial and financial data.

Keywords: Copulas; Non-parametric; estimation; Ranks; Wavelets (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:44:y:2009:i:2:p:170-181

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