Approximations of copulas via transformed moments

Details

Serval ID
serval:BIB_7B92322ACAA4
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Approximations of copulas via transformed moments
Journal
Methodology and Computing in Applied Probability
Author(s)
Mnatsakanov R., Albrecher H., Loisel S.
ISSN
1387-5841 (print)
1573-7713 (electronic)
Publication state
Published
Issued date
2022
Peer-reviewed
Oui
Volume
24
Number
4
Pages
3175-3193
Language
english
Abstract
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.
Create date
08/07/2022 7:13
Last modification date
07/01/2023 7:47
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