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stat.ME2015
Consistency bands for the mean excess function and application to graphical goodness of fit test for financial data
Gane Samb Lo, Diadie Ba, Elhadji Deme +1
In this paper, we use the modern setting of functional empirical processes and recent techniques on uniform estimation for non parametric objects to derive consistency bands for th…
stat.ME2015
Asymptotic confidence bands for copulas based on the local linear kernel estimator
Diam Ba, Cheikh Tidiane Seck, Gane Samb Lo
In this paper we establish asymptotic simultaneous confidence bands for copulas based on the local linear kernel estimator proposed by Chen and Huang [1]. For this, we prove under…