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Probit Transformation for Nonparametric Kernel Estimation of the Copula Density by Geenens, Gery; Charpentier, Arthur; Paindaveine, Davy is a scholarly article available to read on EtoBox.

What is Probit Transformation for Nonparametric Kernel Estimation of the Copula Density about?

Copula modelling has become ubiquitous in modern statistics. Here, the problem of nonparametrically estimating a copula density is addressed. Arguably the most popular nonparametric density estimator, the kernel estimator is not suitable for the unit-square-supported copula densities, mainly because it is heavily affected by boundary bias issues. In addition, most common copulas admit unbounded densities, and kernel methods are not consistent in that case. In this paper, a kernel-type copula density estimator is proposed. It is based on the idea of transforming the uniform marginals of the copula density into normal distributions via the probit function, estimating the density in the transformed domain, which can be accomplished without boundary problems, and obtaining an estimate of the copula density through back-transformation. Although natural, a raw application of this procedure was, however, seen not to perform very well in the earlier literature. Here, it is shown that, if combined with local likelihood density estimation methods, the idea yields very good and easy to implement estimators, fixing boundary issues in a natural way and able to cope with unbounded copula densiti

Author

Geenens, Gery; Charpentier, Arthur; Paindaveine, Davy

Published

2014

Language

EN