most citedImproved kernel estimation of copulas: Weak convergence and goodness-of-fit testing

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math.ST2009★ 128 cited

Improved kernel estimation of copulas: Weak convergence and goodness-of-fit testing

Marek Omelka, Irène Gijbels, Noël Veraverbeke

We reconsider the existing kernel estimators for a copula function, as proposed in Gijbels and Mielniczuk [Comm. Statist. Theory Methods 19 (1990) 445--464], Fermanian, Radulovič a…