Estimation Procedures for a Semiparametric Family of Bivariate Copulas

Abstract

This article proposes 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 use this result to estimate the associated measures of association as well as the high probability regions of the copula. These procedures are illustrated using both simulations and real data.

Key Words:

• High probability regions
• Measures of association
• Nonparametric estimate