Asymptotic confidence bands for copulas based on the transformation kernel estimator

Autor:	Ba, Diam, Seck, Cheikh Tidiane, Lo, Gane Samb
Rok vydání:	2016
Předmět:	Statistics - Methodology 62G05 62G07 60F12 62G20
Druh dokumentu:	Working Paper
Popis:	In this paper we establish asymptotic simultaneous confidence bands for the transformation kernel estimator of copulas introduced in Omelka et al.(2009). To this aim, we prove a uniform in bandwidth law of the iterated logarithm for the maximal deviation of this estimator from its expectation, under smoothness conditions on the copula function. We also study the bias, which tends asymptotically and uniformly to zero with the same precise rate. Some simulation experiments are finally provided to support our results Comment: 5
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1608.05460 Zobrazit plný text záznamu View this record from Arxiv