In this paper, a novel method for copula density estimation using Legendre multiwavelet is proposed. In general, copula density estimation methods based on the multiwavelet benefit from some useful properties, including they are symmetric, orthogonal and have compact support. In particular, the Legendre multiwavelet as a more general and vector-valued polynomial type of wavelets would results a more flexible and accurate approximation for the given copula density. In addition to high ability and nice properties of Legendre multiwavelet in approximation, its support is defined on unit interval, [0,1], as copulas that are normalized to have the support on the unit square and uniform marginal. We further make this approximation method more accurate by using multiresolution techniques. The comparative study reveals that the approximation proposed in this paper is more accurate than a scalar wavelet bases approximation. We eventually apply presented method to approximate multivariate distribution using pair-copula as a flexible multivariate copula to model a dataset of Norwegian financial data.
Statistical Papers – Springer Journals
Published: Nov 18, 2015
It’s your single place to instantly
discover and read the research
that matters to you.
Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.
All for just $49/month
Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly
Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.
Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.
Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.
All the latest content is available, no embargo periods.
“Hi guys, I cannot tell you how much I love this resource. Incredible. I really believe you've hit the nail on the head with this site in regards to solving the research-purchase issue.”Daniel C.
“Whoa! It’s like Spotify but for academic articles.”@Phil_Robichaud
“I must say, @deepdyve is a fabulous solution to the independent researcher's problem of #access to #information.”@deepthiw
“My last article couldn't be possible without the platform @deepdyve that makes journal papers cheaper.”@JoseServera