Genest, Christian; Masiello, Esterina; Tribouley, Karine - In: Insurance: Mathematics and Economics 44 (2009) 2, pp. 170-181
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...