bw_tll {kdecopula}

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

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

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

Value

A 2 x 2 bandwidth matrix.