bw_tll {kdecopula}R Documentation

Bandwidth selection for the transformation local likelihood estimator

Description

The bandwidth is selected by a rule of thumb similar to bw_t.

Usage

bw_tll(udata, deg)

Arguments

udata

data.

deg

degree of the polynomial.

Details

The formula is

5n1/(4q+2)Σ^1/2,5 n^{-1 / (4q + 2)} \hat{\Sigma}^{1/2},

where Sigma^\hat{Sigma} is empirical covariance matrix of the transformed random vector and q=1q = 1 for TLL1 and q=2q = 2 for TLL2.

Value

A 2 x 2 bandwidth matrix.


[Package kdecopula version 0.9.2 Index]