Asymptotic properties of the Bernstein density copula for dependent data

Taoufik Bouezmarni, Jeroen VK Rombouts () and Abderrahim Taamouti ()

Open Access publications from Universidad Carlos III de Madrid from Universidad Carlos III de Madrid

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.

Keywords: Nonparametric estimation; Copula; Bernstein polynomial; α-mixing; Asymptotic properties; Boundary bias (search for similar items in EconPapers)
References: View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://e-archivo.uc3m.es/bitstream/10016/2733/1/we083619.pdf (application/pdf)

Related works:
Working Paper: Asymptotic properties of the Bernstein density copula for dependent data (2008)
Working Paper: Asymptotic properties of the Bernstein density copula for dependent data (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ner:carlos:info:hdl:10016/2733

Access Statistics for this paper

More papers in Open Access publications from Universidad Carlos III de Madrid from Universidad Carlos III de Madrid
Series data maintained by Contact person ().