Asymptotic properties of the Bernstein density copula for dependent data

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dc.contributor.author Bouezmarni, Taoufik
dc.contributor.author Rombouts, Jeroen V. K.
dc.contributor.author Taamouti, Abderrahim
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned 2008-07-03T12:06:11Z
dc.date.available 2008-07-03T12:06:11Z
dc.date.issued 2008-07
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/2733
dc.description.abstract Copulas are extensively used for dependence modeling. In many cases the data does not reveal how the dependence can be modeled using a particular parametric copula. Nonparametric copulas do not share this problem since they are entirely data based. This paper proposes nonparametric estimation of the density copula for α-mixing data using Bernstein polynomials. We study the asymptotic properties of the Bernstein density copula, i.e., we provide the exact asymptotic bias and variance, we establish the uniform strong consistency and the asymptotic normality.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Economics
dc.relation.ispartofseries 08-19
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Nonparametric estimation
dc.subject.other Copula
dc.subject.other Bernstein polynomial
dc.subject.other α-mixing
dc.subject.other Asymptotic properties
dc.subject.other Boundary bias
dc.title Asymptotic properties of the Bernstein density copula for dependent data
dc.type workingPaper
dc.type workingPaper
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
dc.identifier.repec we083619
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