Bandwidth selection for the beta kernel estimator
The bandwidth is selected by minimizing the MISE using the Frank copula as the reference family. The copula parameter is set by inversion of Kendall's tau. See Nagler (2014) for details.
bw_beta(udata)
udata |
data. |
To speed things up, optimal bandwidths have been pre-calculated on a grid of tau values.
A scalar bandwidth parameter.
Nagler, T. (2014). Kernel Methods for Vine Copula Estimation. Master's Thesis, Technische Universitaet Muenchen, https://mediatum.ub.tum.de/node?id=1231221
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.