THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS

B-Tier
Journal: Econometric Theory
Year: 2004
Volume: 20
Issue: 3
Pages: 535-562

Authors (2)

Sancetta, Alessio Satchell, Stephen (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We define the Bernstein copula and study its statistical properties in terms of both distributions and densities. We also develop a theory of approximation for multivariate distributions in terms of Bernstein copulas. Rates of consistency when the Bernstein copula density is estimated empirically are given. In order of magnitude, this estimator has variance equal to the square root of the variance of common nonparametric estimators, e.g., kernel smoothers, but it is biased as a histogram estimator.We would thank Mark Salmon for interesting us in the copula function and Peter Phillips, an associate editor, and the referees for many valuable comments. All remaining errors are our sole responsibility.

Technical Details

RePEc Handle
repec:cup:etheor:v:20:y:2004:i:03:p:535-562_20
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29