Uniform in bandwidth consistency for the transformation kernel estimator of copulas

Abstract

In this paper we establish the uniform in bandwidth consistency for the transformation kernel estimator of copulas introduced in [Omelka et al.(2009)]. To this end, we first prove a uniform in bandwidth law of the iterated logarithm for the maximal deviation of this estimator from its expectation. We then show that, as n goes to infinity, the bias of the estimator converges to zero uniformly in the bandwidth h, varying over a suitable interval. A practical method of selecting the optimal bandwidth is also presented. Finally, we make conclusive simulation experiments showing the performance of the estimator in finite samples.