Asymptotic properties of the Bernstein density copula for dependent data

Taoufik Bouezmarni, Jeroen Rombouts and Abderrahim Taamouti
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Taoufik Bouezmarni: ---

No 2008045, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

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)
JEL-codes: C13 C14 (search for similar items in EconPapers)
Date: 2008-07-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Working Paper: Asymptotic properties of the Bernstein density copula for dependent data (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2008045

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