Journal article
Mixed data kernel copulas
Abstract
A number of approaches toward the kernel estimation of copula have appeared in the literature. Most existing approaches use a manifestation of the copula that requires kernel density estimation of bounded variates lying on a d$$d$$-dimensional unit hypercube. This gives rise to a number of issues as it requires special treatment of the boundary and possible modifications to bandwidth selection routines, among others. Furthermore, existing …
Authors
Racine JS
Journal
Empirical Economics, Vol. 48, No. 1, pp. 37–59
Publisher
Springer Nature
Publication Date
February 2015
DOI
10.1007/s00181-015-0913-3
ISSN
0377-7332