Estimation procedures for a semiparametric family of bivariate copulas

TL;DR

This paper introduces straightforward estimation methods for a semiparametric family of bivariate copulas, enabling efficient estimation of their generating functions, association measures, and high probability regions, demonstrated through simulations and real data.

Contribution

It presents new simple estimation procedures for a specific class of bivariate copulas based on their generating functions, enhancing practical applicability.

Findings

Effective estimation of generating functions achieved

Accurate measures of association estimated

High probability regions successfully identified

Abstract

In this paper, we propose simple estimation methods dedicated to a semiparametric family of bivariate copulas. These copulas can be simply estimated through the estimation of their univariate generating function. We take profit of this result to estimate the associated measures of association as well as the high probability regions of the copula. These procedures are illustrated on simulations and on real data.