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Bernstein polynomial estimators have been used as smooth estimators for density functions and distribution functions. The idea of using them for copula estimation has been given in Sancetta and Satchell (2004). In the present paper we study the asymptotic properties of this estimator: almost sure consistency rates and asymptotic normality. We also obtain explicit expressions for the asymptotic bias and asymptotic variance and show the improvement of the asymptotic mean squared error compared to that of the classical empirical copula estimator. A small simulation study illustrates this superior behavior in small samples. (C) 2011 Elsevier B.V. All rights reserved.

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Autor(es)

JANSSEN, Paul -  SWANEPOEL, Jan -  VERAVERBEKE, Noel - 

Id.: 55142486

Idioma: inglés  - 

Versión: 1.0

Estado: Final

Tipo:  9 -  application/pdf - 

Palabras claveAsymptotic properties -  Bernstein estimator -  Copula estimator -  Mean squared error - 

Tipo de recurso: Journal Contribution  -  Refereed  -  Article  - 

Tipo de Interactividad: Expositivo

Nivel de Interactividad: muy bajo

Audiencia: Estudiante  -  Profesor  -  Autor  - 

Estructura: Atomic

Coste: no

Copyright: sí

Formatos:  9 -  application/pdf - 

Requerimientos técnicos:  Browser: Any - 

Relación: [References] 10.1016/j.jspi.2011.11.020
[References] 000300546600016

Fecha de contribución: 21-ago-2014

Contacto:

Localización:
* JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 142 (5), p. 1189-1197
* 0378-3758

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