Uniform in bandwidth consistency for the transformation kernel estimator of copulas
Statistics Theory
2016-12-30 v1 Statistics Theory
Abstract
In this paper we establish the uniform in bandwidth consistency for the transformation kernel estimator of copulas introduced in [Omelka et al.(2009)]. To this end, we first prove a uniform in bandwidth law of the iterated logarithm for the maximal deviation of this estimator from its expectation. We then show that, as n goes to infinity, the bias of the estimator converges to zero uniformly in the bandwidth h, varying over a suitable interval. A practical method of selecting the optimal bandwidth is also presented. Finally, we make conclusive simulation experiments showing the performance of the estimator in finite samples.
Cite
@article{arxiv.1612.09004,
title = {Uniform in bandwidth consistency for the transformation kernel estimator of copulas},
author = {Cheikh Tidiane Seck and Diam Ba and Gane Samb Lo},
journal= {arXiv preprint arXiv:1612.09004},
year = {2016}
}
Comments
arXiv admin note: text overlap with arXiv:1611.05420