Dependence structure estimation using Copula Recursive Trees

Oskar Laverny, Esterina Masiello, Véronique Maume-Deschamps and Didier Rulliere ()

Journal of Multivariate Analysis, 2021, vol. 185, issue C

Abstract: We construct the COpula Recursive Tree (CORT) estimator: a flexible, consistent, piecewise linear estimator of a copula, leveraging the patchwork copula formalization and various piecewise constant density estimators. While the patchwork structure imposes a grid, the CORT estimator is data-driven and constructs the (possibly irregular) grid recursively from the data, minimizing a chosen distance on the copula space. The addition of the copula constraints makes usual density estimators unusable, whereas the CORT estimator is only concerned with dependence and guarantees the uniformity of margins. Refinements such as localized dimension reduction and bagging are developed, analyzed, and tested through simulated data.

Keywords: Bagging; CORT; Density estimation trees; Nonparametric estimation; Patchwork copula; Piecewise linear copula; Quadratic program (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.jmva.2021.104776

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