Estimation of copulas via Maximum Mean Discrepancy

@article{Alquier2022EstimationOC,
  title={Estimation of copulas via Maximum Mean Discrepancy},
  author={Pierre Alquier and Badr-Eddine Ch'erief-Abdellatif and A. Derumigny and Jean-David Fermanian},
  journal={Journal of the American Statistical Association},
  year={2022}
}
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… 

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