Copulas

JDS2020 - Construction of a copula estimator through recursive partitioning of the unit hypercube

We construct a flexible, consistent, piecewise linear estimator for a copula, leveraging the patchwork copula formalization and various piecewise constant density estimators. While the patchwork structure imposes the grid, our estimator is …

JDS2020 - Construction of a copula estimator through recursive partitioning of the unit hypercube

We construct a flexible, consistent, piecewise linear estimator for a copula, leveraging the patchwork copula formalization and various piecewise constant density estimators. While the patchwork structure imposes the grid, our estimator is …