Wavelet Smoothed Empirical Copula Estimators

Main Article Content

Pedro Alberto Morettin
Clélia Maria de Castro Toloi
Chang Chiann
José Carlos Simon de Miranda

Abstract

We introduce copula estimators based on wavelet smoothing of empirical copulas for the case of time series data. We then study the properties of this estimator via simulations and compare its performance with other estimators. Applications to real data are also given.

Article Details

Section
Long Paper
Author Biographies

Pedro Alberto Morettin, Universidade de São Paulo

PROFESSOR TITULAR, DEPARTAMENTO DE ESTATÍSTICA, UNIVERSIDADE DE SÃO pAULO. iNTERESSE EM SÉRIES TEMPORAIS E APLICAÇÕES.

Clélia Maria de Castro Toloi, Universidade de São Paulo

Associate Professor Department of Statistics Area of interest: Time Series

Chang Chiann, Universidade de São Paulo

Assistant Professor Department of Statistics Area of interest: Time Series

José Carlos Simon de Miranda, Universidade de São Paulo

Assistant Professor Department of Statistics Area of interest: Time Series