Nonparametric recursive estimation of the copula

Felix Camirand Lemyre, Geoffrey Decrouez

STATISTICS & PROBABILITY LETTERS（2021）

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摘要

This paper introduces two nonparametric recursive estimators of the copula. These estimators employ a recursive estimation of the quantile achieved using a stochastic approximation algorithm. Their asymptotic properties and numerical performance are investigated in the context of i.i.d. data. (C) 2020 Elsevier B.V. All rights reserved.

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关键词

Asymptotic theory,Copula,Nonparametric estimation,Recursive methods,Stochastic approximation

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