bw_tll: Bandwidth selection for the transformation local likelihood...

Description Usage Arguments Details Value

Description

The bandwidth is selected by a rule of thumb similar to bw_t.

Usage

1
bw_tll(udata, deg)

Arguments

udata

data.

deg

degree of the polynomial.

Details

The formula is

5 n^{-1 / (4q + 2)} \hat{Σ}^{1/2},

where \hat{Sigma} is empirical covariance matrix of the transformed random vector and q = 1 for TLL1 and q = 2 for TLL2.

Value

A 2 x 2 bandwidth matrix.


kdecopula documentation built on May 2, 2019, 1:06 a.m.