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arXiv · 1608.05460

Asymptotic confidence bands for copulas based on the transformation 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 the transformation kernel estimator of copulas introduced in Omelka et al.(2009). To this aim, we prove a uniform in bandwidth law of the iterated logarithm for the maximal deviation of this estimator from its expectation, under smoothness conditions on the copula function. We also study the bias, which tends asymptotically and uniformly to zero with the same precise rate. Some simulation experiments are finally provided to support our results

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Diam Ba, Cheikh Tidiane Seck, Gane Samb Lo. 2016-08-19. Asymptotic confidence bands for copulas based on the transformation kernel estimator. https://arxiv.org/abs/1608.05460

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