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arXiv · 2106.12367

Identifiability and estimation of meta-elliptical copula generators

Alexis Derumigny·Jean-David Fermanian
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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.

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Alexis Derumigny, Jean-David Fermanian. 2021-06-23. Identifiability and estimation of meta-elliptical copula generators. https://arxiv.org/abs/2106.12367

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