A nonparametric copula density estimator incorporating information on bivariate marginals

TL;DR

This paper introduces a nonparametric copula density estimator that incorporates bivariate marginal information using B-splines and penalty terms, ensuring consistency and adherence to copula constraints.

Contribution

It presents a novel copula density estimator that integrates bivariate marginal data through a penalized B-spline approach, maintaining theoretical consistency.

Findings

Estimator satisfies copula density constraints

Ensures consistency under mild conditions

Incorporates bivariate marginal information effectively

Abstract

We propose a copula density estimator that can include information on bivariate marginals when the information is available. We use B-splines for copula density approximation and include information on bivariate marginals via a penalty term. Our estimator satisfies the constraints for a copula density. Under mild conditions, the proposed estimator is consistent.