A note on minimum distance estimation of copula densities
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.
Year of publication: |
2005
|
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Authors: | Biau, GĂ©rard ; Wegkamp, Marten |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 73.2005, 2, p. 105-114
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Publisher: |
Elsevier |
Keywords: | Copula densities Empirical copula process Minimum distance estimation |
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