Thresholding methods to estimate copula density

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. (C) 2009 Published by Elsevier Inc.