Jackknife empirical likelihood method for copulas

Abstract

Copulas are used to depict dependence among several random variables. Both parametric and non-parametric estimation methods have been studied in the literature. Moreover, profile empirical likelihood methods based on either empirical copula estimation or smoothed copula estimation have been proposed to construct confidence intervals of a copula. In this paper, a jackknife empirical likelihood method is proposed to reduce the computation with respect to the existing profile empirical likelihood methods.