A note on minimum distance estimation of copula densities

Gérard Biau and Marten Wegkamp

Statistics & Probability Letters, 2005, vol. 73, issue 2, 105-114

Abstract: This paper introduces a minimum L1 distance estimate for parametric copula densities. It is shown that the expected L1 error of the estimate is within a given constant multiple of the best possible error plus an additive remainder term which is small under mild assumptions. The proof is based on an oracle inequality and a maximal inequality for the empirical copula process indexed by sets.

Keywords: Copula; densities; Empirical; copula; process; Minimum; distance; estimation (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (7)

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