Probit Transformation for Nonparametric Kernel Estimation of the Copula Density
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gery Geenens & Richard Dunn, 2017. "A nonparametric copula approach to conditional Value-at-Risk," Papers 1712.05527, arXiv.org.
- Nagler, Thomas & Czado, Claudia, 2016. "Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 151(C), pages 69-89.
- Rodrigues, G.S. & Nott, David J. & Sisson, S.A., 2016. "Functional regression approximate Bayesian computation for Gaussian process density estimation," Computational Statistics & Data Analysis, Elsevier, pages 229-241.
- Otneim, Håkon & Tjøstheim, Dag, 2016. "Non-parametric estimation of conditional densities: A new method," Discussion Papers 2016/22, Norwegian School of Economics, Department of Business and Management Science.
More about this item
Keywordscopula density; transformation kernel density estimator; boundary bias; unbounded Density; local likelihood density estimation;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-05-09 (All new papers)
- NEP-DCM-2014-05-09 (Discrete Choice Models)
- NEP-ECM-2014-05-09 (Econometrics)
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