bw_t {kdecopula}

Bandwidth selection for the transformation kernel estimator

Description

The bandwidth is selected by a rule of thumb. It approximately minimizes the MISE of the Gaussian copula on the transformed domain. The usual normal reference matrix is multiplied by 1.25 to account for the higher variance on the copula level.

Usage

bw_t(udata)

Arguments

udata

data.

Details

The formula is

1.25 n^{-1 / 6} \hat{\Sigma}^{1/2},

where \hat{Sigma} is empirical covariance matrix of the transformed random vector.

Value

A 2 x 2 bandwidth matrix.

References

Nagler, T. (2014). Kernel Methods for Vine Copula Estimation. Master's Thesis, Technische Universitaet Muenchen, https://mediatum.ub.tum.de/node?id=1231221