ON A WAVELET-BASED METHOD FOR ESTIMATING THE COPULA FUNCTION

被引：0
|
作者：
Gannoun, A. [1 ]
Hosseinioun, N.
机构：
[1] Univ Montpellier 2, 13M Montpellier, F-34095 Montpellier 05, France
来源：
REVUE ROUMAINE DE MATHEMATIQUES PURES ET APPLIQUEES | 2012年 / 57卷 / 03期
关键词：
copulas; nonparametric estimation; rank statistics; wavelets;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Copula models are becoming increasingly popular for modelling dependencies between random variables. The range of their recent applications include such fields as analysis of extremes in financial assets and returns, failure of paired organs in health science, and human mortality in insurance. The aim of this work is to establish an upper bound on Lp-losses (2 <= p < infinity) of the linear wavelet-based estimator for copula function when the copula function is assumed to be bounded.
引用
收藏
页码：205 / 213
页数：9
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