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Smooth copula-based estimation of the conditional density function with a single covariate

Author

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  • Janssen, Paul
  • Swanepoel, Jan
  • Veraverbeke, Noël

Abstract

Some recent papers deal with smooth nonparametric estimators for copula functions and copula derivatives. These papers contain results on copula-based Bernstein estimators for conditional distribution functions and related functionals such as regression and quantile functions. The focus in the present paper is on new copula-based smooth Bernstein estimators for the conditional density. Our approach avoids going through separate density estimation of numerator and denominator. Our estimator is defined as a smoother of the copula-based Bernstein estimator of the conditional distribution function. We establish asymptotic properties of bias and variance and discuss the asymptotic mean squared error in terms of the smoothing parameters. We also obtain the asymptotic normality of the new estimator. In a simulation study we show the good performance of the new estimator in comparison with other estimators proposed in the literature.

Suggested Citation

  • Janssen, Paul & Swanepoel, Jan & Veraverbeke, Noël, 2017. "Smooth copula-based estimation of the conditional density function with a single covariate," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 39-48.
    • Handle: RePEc:eee:jmvana:v:159:y:2017:i:c:p:39-48
    DOI: 10.1016/j.jmva.2017.04.008
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    References listed on IDEAS

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    1. Faugeras, Olivier P., 2009. "A quantile-copula approach to conditional density estimation," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 2083-2099, October.
    2. Alexandre Leblanc, 2012. "On estimating distribution functions using Bernstein polynomials," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(5), pages 919-943, October.
    3. Jianqing Fan & Tsz Ho Yim, 2004. "A crossvalidation method for estimating conditional densities," Biometrika, Biometrika Trust, vol. 91(4), pages 819-834, December.
    4. Janssen, Paul & Swanepoel, Jan & Veraverbeke, Noël, 2014. "A note on the asymptotic behavior of the Bernstein estimator of the copula density," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 480-487.
    5. Fan, Jianqing & Yao, Qiwei & Tong, Howell, 1996. "Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems," LSE Research Online Documents on Economics 6704, London School of Economics and Political Science, LSE Library.
    6. Sancetta, Alessio & Satchell, Stephen, 2004. "The Bernstein Copula And Its Applications To Modeling And Approximations Of Multivariate Distributions," Econometric Theory, Cambridge University Press, vol. 20(3), pages 535-562, June.
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    Cited by:

    1. Steven Abrams & Paul Janssen & Jan Swanepoel & Noël Veraverbeke, 2020. "Nonparametric estimation of the cross ratio function," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(3), pages 771-801, June.
    2. Ouimet, Frédéric, 2021. "Asymptotic properties of Bernstein estimators on the simplex," Journal of Multivariate Analysis, Elsevier, vol. 185(C).

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