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http://hdl.handle.net/1942/16557
Title: | A note on the asymptotic behavior of the Bernstein estimator of the copula density | Authors: | JANSSEN, Paul SWANEPOEL, Jan VERAVERBEKE, Noel |
Issue Date: | 2014 | Source: | JOURNAL OF MULTIVARIATE ANALYSIS, 124, p. 480-487 | Abstract: | Copulas and their corresponding densities are functions of a multivariate joint distribution and the one-dimensional marginals. Bernstein estimators have been used as smooth nonparametric estimators for copulas and copula densities. The purpose of this note is to study the asymptotic distributional behavior of the Bernstein estimator of a copula density. Compared to the existing results, our general theorem does not assume known marginals. This makes our theorem applicable for real data. | Notes: | Veraverbeke, N (reprint author), Hasselt Univ, Ctr Stat, Agoralaan, B-3590 Diepenbeek, Belgium. paul.janssen@uhasselt.be; jan.swanepoel@nwu.ac.za; noel.veraverbeke@uhasselt.be | Keywords: | asymptotic normality; Bernstein estimator; copula density | Document URI: | http://hdl.handle.net/1942/16557 | ISSN: | 0047-259X | DOI: | 10.1016/j.jmva.2013.10.009 | ISI #: | 000330599800034 | Rights: | © 2013 Elsevier Inc. All rights reserved. | Category: | A1 | Type: | Journal Contribution | Validations: | ecoom 2015 |
Appears in Collections: | Research publications |
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File | Description | Size | Format | |
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janssen 1.pdf | Published version | 378.84 kB | Adobe PDF | View/Open |
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