Nonparametric kernel estimation of conditional copula density

Toihir Soulaimana Djaloud and Cheikh Tidiane Seck

Statistics & Probability Letters, 2024, vol. 212, issue C

Abstract: This paper introduces a new mathematical formula for the bivariate conditional copula density and proposes kernel-type estimators for it. We demonstrate the consistency and asymptotic normality of these estimators, which also exhibit the best quadratic mean convergence rate when the optimal theoretical bandwidth is selected.

Keywords: Conditional copula density; Plug-in estimator; Kernel estimation; Asymptotic normality; Quadratic mean convergence (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2024.110154

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