Bandwidth selection for the Bernstein copula estimator
The optimal size of knots is chosen by a rule of thumb adapted from Rose (2015).
bw_bern(udata)
udata |
data. |
The formula is
max(1, round(n^(1/3) * exp(abs(rho)^(1/n)) * (abs(rho) + 0.1))),
where ρ is the empirical Spearman's rho of the data.
optimal order of the Bernstein polynomials.
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