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arXiv · 1510.00071

Asymptotic confidence bands for copulas based on the local linear kernel estimator

Diam Ba·Cheikh Tidiane Seck·Gane Samb Lo
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Abstract

In this paper we establish asymptotic simultaneous confidence bands for copulas based on the local linear kernel estimator proposed by Chen and Huang [1]. For this, we prove under smoothness conditions on the copula function, a uniform in bandwidth law of the iterated logarithm for the maximal deviation of this estimator from its expectation. We also show that the bias term converges uniformly to zero with a precise rate. The performance of these bands is illustrated in a simulation study. An application based on pseudo-panel data is also provided for modeling dependence.

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Diam Ba, Cheikh Tidiane Seck, Gane Samb Lo. 2015-09-30. Asymptotic confidence bands for copulas based on the local linear kernel estimator. https://arxiv.org/abs/1510.00071

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