
arXiv: 2110.03397
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.
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
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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