ESTIMATING THE DENSITY OF A COPULA FUNCTION

被引：88

作者：

GIJBELS, I ^{[1
]}

MIELNICZUK, J ^{[1
]}

机构：

[1] POLISH ACAD SCI,PL-00901 WARSAW,POLAND

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1990年 / 19卷 / 02期

关键词：

copula function; density; Neyman-Pearson curves; nonparametric estimation; normed; Radon-Nikodym derivative; rank transformation;

D O I：

10.1080/03610929008830212

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper deals with estimation of the density of a copula function as well as with that of the Radon-Nikodym derivative of a bivariate distribution function with respect to the product of its marginal distribution functions. Strong uniform consistency and asymptotic normality of kernel-type estimators are proved under various conditions on the bandwidth and on the smoothness of the kernel. As an application, the estimation of Neyman-Pearson curves in the testing of independence problem is discussed. © 1990, Taylor & Francis Group, LLC. All rights reserved.

引用

页码：445 / 464

页数：20

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