کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146724 957526 2010 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Thresholding methods to estimate copula density
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Thresholding methods to estimate copula density
چکیده انگلیسی

This paper deals with the problem of multivariate copula density estimation. Using wavelet methods we provide two shrinkage procedures based on thresholding rules for which knowledge of the regularity of the copula density to be estimated is not necessary. These methods, said to be adaptive, have proved to be very effective when adopting the minimax and the maxiset approaches. Moreover we show that these procedures can be discriminated in the maxiset sense. We provide an estimation algorithm and evaluate its properties using simulation. Finally, we propose a real life application for financial data.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 101, Issue 1, January 2010, Pages 200–222
نویسندگان
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