Title: Inference of elliptical copula generators
Authors: Alexis Derumigny - ENSAE-CREST (France) [presenting]
Jean-David Fermanian - Ensae-Crest (France)
Abstract: When one chooses elliptical copulae to model the dependence of a given distribution, there is two parameters of interest : the correlation matrix and the generator of the corresponding elliptical distribution. In the general case, both have to be estimated. The correlations can be estimated directly from the pseudo-sample. We propose nonparametric estimators for the generator, by iterating estimators specific to elliptical distributions, or by using M-estimation. We give also some empirical results and theorical properties.