Sobolev convergence of empirical Bernstein copulas

© 2019, Hacettepe University. All rights reserved. In this work, we prove that Bernstein estimator always converges to the true copula under Sobolev distances. The rate of convergences is provided in case the true copula has bounded second order derivatives. Simulation study has also been done for C...

Full description

Saved in:

Bibliographic Details
Main Authors:	Sundusit Saekow, Santi Tasena
Format:	Journal
Published:	2020
Subjects:	Mathematics
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85077195800&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/67919
Tags:	Add Tag No Tags, Be the first to tag this record!
Institution:	Chiang Mai University

id	th-cmuir.6653943832-67919
record_format	dspace
spelling	th-cmuir.6653943832-679192020-04-02T15:11:27Z Sobolev convergence of empirical Bernstein copulas Sundusit Saekow Santi Tasena Mathematics © 2019, Hacettepe University. All rights reserved. In this work, we prove that Bernstein estimator always converges to the true copula under Sobolev distances. The rate of convergences is provided in case the true copula has bounded second order derivatives. Simulation study has also been done for Clayton copulas. We then use this estimator to estimate measures of complete dependence for weather data. The result suggests a nonlinear relationship between the dust density in Chiang Mai, Thailand and the temperature and the humidity level. 2020-04-02T15:11:27Z 2020-04-02T15:11:27Z 2019-01-01 Journal 2651477X 2-s2.0-85077195800 10.15672/hujms.464636 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85077195800&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/67919
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Mathematics
spellingShingle	Mathematics Sundusit Saekow Santi Tasena Sobolev convergence of empirical Bernstein copulas
description	© 2019, Hacettepe University. All rights reserved. In this work, we prove that Bernstein estimator always converges to the true copula under Sobolev distances. The rate of convergences is provided in case the true copula has bounded second order derivatives. Simulation study has also been done for Clayton copulas. We then use this estimator to estimate measures of complete dependence for weather data. The result suggests a nonlinear relationship between the dust density in Chiang Mai, Thailand and the temperature and the humidity level.
format	Journal
author	Sundusit Saekow Santi Tasena
author_facet	Sundusit Saekow Santi Tasena
author_sort	Sundusit Saekow
title	Sobolev convergence of empirical Bernstein copulas
title_short	Sobolev convergence of empirical Bernstein copulas
title_full	Sobolev convergence of empirical Bernstein copulas
title_fullStr	Sobolev convergence of empirical Bernstein copulas
title_full_unstemmed	Sobolev convergence of empirical Bernstein copulas
title_sort	sobolev convergence of empirical bernstein copulas
publishDate	2020
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85077195800&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/67919
_version_	1681426724214013952

Sobolev convergence of empirical Bernstein copulas

Similar Items