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Electronic Journal of Statistics
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Article . 2022
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https://dx.doi.org/10.48550/ar...
Article . 2021
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Smooth bootstrapping of copula functionals

Authors: Coblenz, Maximilian; Grothe, Oliver; Herrmann, Klaus; Hofert, Marius;

Smooth bootstrapping of copula functionals

Abstract

The smooth bootstrap for estimating copula functionals in small samples is investigated. It can be used both to gauge the distribution of the estimator in question and to augment the data. Issues arising from kernel density and distribution estimation in the copula domain are addressed, such as how to avoid the bounded domain, which bandwidth matrix to choose, and how the smoothing can be carried out. Furthermore, we investigate how the smooth bootstrap impacts the underlying dependence structure or the functionals in question and under which conditions it does not. We provide specific examples and simulations that highlight advantages and caveats of the approach.

Country
Germany
Keywords

FOS: Computer and information sciences, info:eu-repo/classification/ddc/330, 330, ddc:330, Economics, kernel smoothing, Statistics, Statistics - Computation, Methodology (stat.ME), dependence distortion, bandwidth matrix, kernel distribution estimation, 62H99, 65C60, smooth bootstrap, bandwidth selection, Statistics - Methodology, Computation (stat.CO), data augmentation

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
Green
gold
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