Description

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.

Usage

Arguments

Details

To speed things up, optimal bandwidths have been pre-calculated on a grid of tau values.

Value

A scalar bandwidth parameter.

References

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