Linear B-spline copulas with applications to nonparametric estimation of copulas

作者：Shen Xiaojing; Zhu Yunmin^*; Song Lixin

来源：Computational Statistics & Data Analysis, 2008, 52(7): 3806-3819.

DOI：10.1016/j.csda.2008.01.002

In this paper, we propose a method for constructing a new class of copulas. They are called linear B-spline copulas which are a good approximation of a given complicated copula by using finite numbers of values of this copula without the loss of some essential properties. Moreover, rigorous analysis shows that the empirical linear B-spline copulas are more effective than empirical copulas to estimate perfectly dependent copulas. For the cases of nonperfectly dependent copulas, simulations show that the empirical linear B-spline copulas also improve the empirical copulas to estimate the underlying copula structure. Furthermore, we compare the performance of parametric estimation of copulas based on the empirical copulas with that based on the empirical linear B-spline copulas by simulations. In most of the cases, the latter are better than the former.

• 出版日期2008-3-15
• 单位四川大学; 大连理工大学