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http://hdl.handle.net/1942/13513
Title: | Large sample behavior of the Bernstein copula estimator | Authors: | JANSSEN, Paul SWANEPOEL, Jan VERAVERBEKE, Noel |
Issue Date: | 2012 | Publisher: | ELSEVIER SCIENCE BV | Source: | JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 142 (5), p. 1189-1197 | Abstract: | Bernstein polynomial estimators have been used as smooth estimators for density functions and distribution functions. The idea of using them for copula estimation has been given in Sancetta and Satchell (2004). In the present paper we study the asymptotic properties of this estimator: almost sure consistency rates and asymptotic normality. We also obtain explicit expressions for the asymptotic bias and asymptotic variance and show the improvement of the asymptotic mean squared error compared to that of the classical empirical copula estimator. A small simulation study illustrates this superior behavior in small samples. (C) 2011 Elsevier B.V. All rights reserved. | Notes: | Veraverbeke, N (reprint author), [Janssen, Paul; Veraverbeke, Noel] Hasselt Univ, Ctr Stat, B-3590 Diepenbeek, Belgium. [Swanepoel, Jan] North West Univ, Potchefstroom, South Africa. paul.janssen@uhasselt.be; Jan.swanepoel@nwu.ac.za; noel.veraverbeke@uhasselt.be | Keywords: | Asymptotic properties; Bernstein estimator; Copula estimator; Mean squared error;Statistics & Probability; Asymptotic properties; Bernstein estimator; Copula estimator; Mean squared error | Document URI: | http://hdl.handle.net/1942/13513 | ISSN: | 0378-3758 | e-ISSN: | 1873-1171 | DOI: | 10.1016/j.jspi.2011.11.020 | ISI #: | 000300546600016 | Category: | A1 | Type: | Journal Contribution | Validations: | ecoom 2013 |
Appears in Collections: | Research publications |
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