Nonparametric estimation of copulas and copula densities by orthogonal projections

Yves I. Ngounou Bakam and Denys Pommeret

Econometrics and Statistics, 2025, vol. 36, issue C, 90-118

Abstract: A nonparametric copula density estimator based on Legendre orthogonal polynomials is proposed. A nonparametric copula estimator is then deduced by integration. Their asymptotic properties are reviewed. Both estimators are based on a sequence of moments that characterize the copulas and that we shall call the copula coefficients. A data-driven method is proposed to select the number of copula coefficients to use. An intensive simulation study shows the good performance of both copulas and copula densities estimators compared to a large panel of competitors. Two real datasets illustrate this approach.

Keywords: Copula and copula density estimators; Copula coefficients; Orthogonal Legendre polynomials; Nonparametric estimation (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:36:y:2025:i:c:p:90-118

DOI: 10.1016/j.ecosta.2023.04.002

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