Some Remarks on Copula Estimation and a New

Abstract

The purpose of this paper is twofold: Fisrt, we review briefly the methods often used for copula estimation in the context of independent, identically distributed random variables and discuss their use for time series data. Secondly, we propose a new procedure, based on wavelet expansions. The proposed estimators are based on empirical copulas. Simulations and applications to real data are also given