Title: Projection estimation of multivariate copula densities
Authors: Yves Ismael Ngounou Bakam - Institute of Mathematics of Marseille (France) [presenting]
Denys Pommeret - Institute of Mathematics of Marseille (France)
Abstract: A non parametric copula estimator is proposed based on an orthogonal expansion of its density. We investigate the asymptotic properties. From the theoretical point of view, we study the performance of the procedure in the minimax sense and maxiset approach. We provide a convenient way to select the smoothing parameter, the relevant orthogonal basis and reference measure. Numerical analysis and comparisons show the potential of this procedure. An illustration is presented through a real actuarial data set.