kdecopula (version 0.9.2)

bw_bern: Bandwidth selection for the Bernstein copula estimator

Description

The optimal size of knots is chosen by a rule of thumb adapted from Rose (2015).

Usage

bw_bern(udata)

Arguments

udata

data.

Value

optimal order of the Bernstein polynomials.

Details

The formula is $$max(1, round(n^(1/3) * exp(abs(rho)^(1/n)) * (abs(rho) + 0.1))),$$ where \(\rho\) is the empirical Spearman's rho of the data.