Bernstein estimator for unbounded density copula

Taoufik Bouezmarni and Anouar El Ghouch
Authors registered in the RePEc Author Service: Abderrahim Taamouti

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: We study the asymptotic properties of the Bernstein estimator for unbounded density copula functions. We show that the estimator converges to infinity at the corner. We establish its relative convergence when the copula is unbounded and we provide the uniform strong consistency of the estimator on every compact in the interior region. We also check the finite simple performance of the estimator via an extensive simulation study and we compare it with other well known nonparametric methods. Finally, we consider an empirical application where the asymmetric dependence between international equity markets (US, Canada, UK, and France) is re-examined.

Keywords: Unbounded; copula; Nonparametric; estimation; Bernstein; polynomial; Asymptotic; properties; Uniform; strong; consistency; Relative; convergence; Boundary; bias (search for similar items in EconPapers)
Date: 2011-10
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Bernstein Estimator for Unbounded Density Copula (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:we1143

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