kdecopula (version 0.9.2)

bw_tt_pi: Nearest-neighbor bandwidth selection for the tapered transformation estimator

Description

The smoothing parameters are selected by the method of Wen and Wu (2015).

Usage

bw_tt_pi(udata, rho.add = TRUE)
bw_tt_cv(udata, rho.add = T)

Arguments

udata

data.

rho.add

logical; whether a rotation (correlation) parameter shall be included.

Value

Optimal smoothing parameters as in Wen and Wu (2015): a numeric vector of length 4; entries are \((h, \rho, \theta_1, \theta_2)\).

References

Wen, K. and Wu, X. (2015). Transformation-Kernel Estimation of the Copula Density, Working paper, http://agecon2.tamu.edu/people/faculty/wu-ximing/agecon2/public/copula.pdf