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Nonparametric kernel estimation of conditional copula density

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  • Djaloud, Toihir Soulaimana
  • Seck, Cheikh Tidiane

Abstract

This paper introduces a new mathematical formula for the bivariate conditional copula density and proposes kernel-type estimators for it. We demonstrate the consistency and asymptotic normality of these estimators, which also exhibit the best quadratic mean convergence rate when the optimal theoretical bandwidth is selected.

Suggested Citation

  • Djaloud, Toihir Soulaimana & Seck, Cheikh Tidiane, 2024. "Nonparametric kernel estimation of conditional copula density," Statistics & Probability Letters, Elsevier, vol. 212(C).
    • Handle: RePEc:eee:stapro:v:212:y:2024:i:c:s0167715224001238
    DOI: 10.1016/j.spl.2024.110154
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