Nonparametric estimation of copulas and copula densities by orthogonal projections.

Summary In this paper we study nonparametric estimators of copulas and copula densities. We first focus our study on a density copula estimator based on a polynomial orthogonal projection of the joint density. A new copula estimator is then deduced. Its asymptotic properties are studied: we provide a large functional class for which this construction is optimal in the minimax and maxiset sense and we propose a method selection for the smoothing parameter. An intensive simulation study shows the very good performance of both copulas and copula densities estimators which we compare to a large panel of competitors. A real dataset in actuarial science illustrates this approach.