Estimation of copulas via Maximum Mean Discrepancy
Pierre Alquier,
Badr-Eddine Chérief-Abdellatif,
Alexis Derumigny
et al.
Abstract:This paper deals with robust inference for parametric copula models. Estimation using Canonical Maximum Likelihood might be unstable, especially in the presence of outliers. We propose to use a procedure based on the Maximum Mean Discrepancy (MMD) principle. We derive non-asymptotic oracle inequalities, consistency and asymptotic normality of this new estimator. In particular, the oracle inequality holds without any assumption on the copula family, and can be applied in the presence of outliers or under misspe… Show more
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