Please use this identifier to cite or link to this item: 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
e-ISSN: ****-****
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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