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Publication Details
AFRICAN RESEARCH NEXUS
SHINING A SPOTLIGHT ON AFRICAN RESEARCH
decision sciences
A note on the asymptotic behavior of the Bernstein estimator of the copula density
Journal of Multivariate Analysis, Volume 124, Year 2014
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Description
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. © 2013 Elsevier Inc.
Authors & Co-Authors
Janssen, Paul L.
Belgium, Hasselt
Universiteit Hasselt
Swanepoel, Jan W.H.
South Africa, Potchefstroom
North-west University
Veraverbeke, Noël
Belgium, Hasselt
Universiteit Hasselt
South Africa, Potchefstroom
North-west University
Statistics
Citations: 42
Authors: 3
Affiliations: 2
Identifiers
Doi:
10.1016/j.jmva.2013.10.009
ISSN:
0047259X
e-ISSN:
10957243