کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077476 1374132 2009 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimating copula densities through wavelets
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Estimating copula densities through wavelets
چکیده انگلیسی
Wavelet analysis is used to construct a rank-based estimator of a copula density. The procedure, which can be easily implemented with ready-to-use wavelet packages, is based on an algorithm that handles boundary effects automatically. The resulting estimator provides a non-parametric benchmark for the selection of a parametric copula family. From a theoretical point of view, the estimation procedure is shown to be optimal in the minimax sense on a large functional class of regular copula densities. The approach is illustrated with actuarial and financial data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 44, Issue 2, April 2009, Pages 170-181
نویسندگان
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