Approximations of Copulas via Transformed Moments

Robert M. Mnatsakanov (), Hansjoerg Albrecher and Stephane Loisel
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Robert M. Mnatsakanov: West Virginia University
Hansjoerg Albrecher: University of Lausanne
Stephane Loisel: Laboratoire de Sciences Actuarielle et Financière, ISFA

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 4, 3175-3193

Abstract: Abstract We study the problem of approximating the copula and copula density function from a sequence of transformed moments. In particular, when frequency moments of an underlying bivariate distribution are available, the uniform convergence of the reconstructed copula and the rate of approximation of the copula density function are obtained. Finally, the accuracies of the approximation and estimation are illustrated in a simulation study.

Keywords: Copula function; M-determinate distribution; Moment-recovered distribution; Uniform rate of approximation; 62G05; 62G07; 41A25 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11009-022-09969-8

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