Bernstein estimator for unbounded density copula
We 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.
|Date of creation:||Oct 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +34-91 6249594
Fax: +34-91 6249329
Web page: http://www.eco.uc3m.es
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Yoshihide Kakizawa, 2006. "Bernstein polynomial estimation of a spectral density," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 253-287, 03.
- BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen VK & TAAMOUTI, Abderrahim, .
"Asymptotic properties of the Bernstein density copula estimator for alpha-mixing data,"
CORE Discussion Papers RP
2302, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bouezmarni, Taoufik & Rombouts, Jeroen V.K. & Taamouti, Abderrahim, 2010. "Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 1-10, January.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Kim, Gunky & Silvapulle, Mervyn J. & Silvapulle, Paramsothy, 2007. "Comparison of semiparametric and parametric methods for estimating copulas," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2836-2850, March.
- W. Gawronski & U. Stadtmüller, 1981. "Smoothing histograms by means of lattice-and continuous distributions," Metrika, Springer, vol. 28(1), pages 155-164, December.
- Andrew Ang & Geert Bekaert, 2002. "International Asset Allocation With Regime Shifts," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1137-1187.
- 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(03), pages 535-562, June.
- Axel Tenbusch, 1997. "Nonparametric curve estimation with bernstein estimates," Metrika, Springer, vol. 45(1), pages 1-30, January.
- Sonia Petrone, 1999. "Random Bernstein Polynomials," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 26(3), pages 373-393.
When requesting a correction, please mention this item's handle: RePEc:cte:werepe:we1143. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.