Approximations of copulas via transformed moments

Détails

ID Serval
serval:BIB_7B92322ACAA4
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Approximations of copulas via transformed moments
Périodique
Methodology and Computing in Applied Probability
Auteur⸱e⸱s
Mnatsakanov R., Albrecher H., Loisel S.
ISSN
1387-5841 (print)
1573-7713 (electronic)
Statut éditorial
Publié
Date de publication
2022
Peer-reviewed
Oui
Volume
24
Numéro
4
Pages
3175-3193
Langue
anglais
Résumé
We study the problem of approximating the copula and copula density function from a sequence of
transformed moments. In particular, when frequency moments of an underlying bivariate distribution
are available, the uniform convergence of the reconstructed copula and the rate of approximation of
the copula density function are obtained. Finally, the accuracies of the approximation and estimation
are illustrated in a simulation study.
Création de la notice
08/07/2022 6:13
Dernière modification de la notice
07/01/2023 6:47
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