Abstract:Copulas are distributions with uniform marginals. Non-parametric copula estimates may violate the uniformity condition in finite samples. We look at whether it is possible to obtain valid piecewise linear copula densities by triangulation. The copula property imposes strict constraints on design points, making an equi-spaced grid a natural starting point. However, the mixed-integer nature of the problem makes a pure triangulation approach impractical on fine grids. As an alternative, we study the ways of appro… Show more
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