kdecopula: bw_tt_pi – R documentation

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bw_tt_pi

Nearest-neighbor bandwidth selection for the tapered transformation estimator

The smoothing parameters are selected by the method of Wen and Wu (2015).

bw_tt_pi(udata, rho.add = TRUE)

bw_tt_cv(udata, rho.add = T)

`udata`	data.
`rho.add`	logical; whether a rotation (correlation) parameter shall be included.

Optimal smoothing parameters as in Wen and Wu (2015): a numeric vector of length 4; entries are (h, ρ, θ_1, θ_2).

Kuangyu Wen

Wen, K. and Wu, X. (2015). Transformation-Kernel Estimation of the Copula Density, Working paper, http://agecon2.tamu.edu/people/faculty/wu-ximing/agecon2/public/copula.pdf

Kernel Smoothing for Bivariate Copula Densities

v0.9.2

GPL-3

Authors

Thomas Nagler [aut, cre], Kuangyu Wen [ctb]

Initial release