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A note on the adaptive estimation of a bi-dimensional density in the case of knowledge of the copula density

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  • Bulla, Ingo
  • Chesneau, Christophe
  • Navarro, Fabien
  • Mark, Tanya

Abstract

This paper attempts to better understand the influence of the smoothness of the copula density in the bi-dimensional estimation density problem. We provide an element of answer by studying the MISE properties of an adaptive estimator based on a plug-in approach and wavelet methods.

Suggested Citation

  • Bulla, Ingo & Chesneau, Christophe & Navarro, Fabien & Mark, Tanya, 2015. "A note on the adaptive estimation of a bi-dimensional density in the case of knowledge of the copula density," Statistics & Probability Letters, Elsevier, vol. 105(C), pages 6-13.
  • Handle: RePEc:eee:stapro:v:105:y:2015:i:c:p:6-13
    DOI: 10.1016/j.spl.2015.02.024
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    References listed on IDEAS

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    1. A. Antoniadis, 1997. "Wavelets in statistics: A review," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 6(2), pages 97-130, August.
    2. Chicken, Eric & Cai, T. Tony, 2005. "Block thresholding for density estimation: local and global adaptivity," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 76-106, July.
    3. Faugeras, Olivier P., 2009. "A quantile-copula approach to conditional density estimation," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 2083-2099, October.
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