Erwan Le Pennec

Copula

joint work with K. Tribouley and F. Autin

Wavelet thresholding strategies have been proved to be a versatile technique. In this work with F. Autin and K. Tribouley, we apply this technique to non parametric estimation of copulas. Our estimator is proved to be adaptive and almost minimax for standard Besov bodies. Numerical experiments on artificial and real datasets are conducted.

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Publication