Abstract
Meta-elliptical copulas are often proposed to model dependence between the components of a random vector. They are specified by a correlation matrix and a map g, called density generator. While the latter correlation matrix can easily be estimated from pseudo-samples of observations, the density generator is harder to estimate, especially when it does not belong to a parametric family. We give sufficient conditions to non-parametrically identify this generator. Several nonparametric estimators of g are then proposed, by M-estimation, simulation-based inference, or by an iterative procedure available in the R package ElliptCopulas. Some simulations illustrate the relevance of the latter method.
Original language | English |
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Article number | 104962 |
Number of pages | 19 |
Journal | Journal of Multivariate Analysis |
Volume | 190 |
DOIs | |
Publication status | Published - 2022 |
Bibliographical note
Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-careOtherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.
Keywords
- Elliptical generator
- Identifiability
- Meta-elliptical copulas
- Recursive algorithm
Fingerprint
Dive into the research topics of 'Identifiability and estimation of meta-elliptical copula generators'. Together they form a unique fingerprint.Datasets
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ElliptCopulas: Inference of Elliptical Distributions and Copulas
Derumigny, A. F. F. (Creator), Fermanian, J. D. (Contributor) & van der Spek, R. A. J. (Contributor), TU Delft - 4TU.ResearchData, 25 Apr 2022
https://github.com/AlexisDerumigny/ElliptCopulas and one more link, https://CRAN.R-project.org/package=ElliptCopulas (show fewer)
Dataset/Software: Software