Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10526192 | Statistics & Probability Letters | 2005 | 10 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Gérard Biau, Marten Wegkamp,