Bernstein estimator for unbounded density copula
AbstractWe study the asymptotic properties of the Bernstein estimator for unbounded density copula functions. We show that the estimator converges to infinity at the corner. We establish its relative convergence when the copula is unbounded and we provide the uniform strong consistency of the estimator on every compact in the interior region. We also check the finite simple performance of the estimator via an extensive simulation study and we compare it with other well known nonparametric methods. Finally, we consider an empirical application where the asymmetric dependence between international equity markets (US, Canada, UK, and France) is re-examined.
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Economía in its series Economics Working Papers with number we1143.
Date of creation: Oct 2011
Date of revision:
Unbounded copula; Nonparametric estimation; Bernstein polynomial; Asymptotic properties; Uniform strong consistency; Relative convergence; Boundary bias;
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