Identifiability and estimation of meta-elliptical copula generators

A. Derumigny, J. D. Fermanian*

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

3 Downloads (Pure)

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 languageEnglish
Article number104962
Number of pages19
JournalJournal of Multivariate Analysis
Volume190
DOIs
Publication statusPublished - 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-care
Otherwise 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.

Cite this