期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2008
卷号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：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.
