%0 Journal Article
%T Asymptotic confidence bands for copulas based on the local linear kernel estimator
%A Diam Ba
%A Cheikh Tidiane Seck
%A Gane Samb Lo
%J Statistics
%D 2015
%I arXiv
%X In this paper we establish asymptotic simultaneous confidence bands for copulas based on the local linear kernel estimator proposed by Chen and Huang [1]. For this, we prove under smoothness conditions on the copula function, a uniform in bandwidth law of the iterated logarithm for the maximal deviation of this estimator from its expectation. We also show that the bias term converges uniformly to zero with a precise rate. The performance of these bands is illustrated in a simulation study. An application based on pseudo-panel data is also provided for modeling dependence.
%U http://arxiv.org/abs/1510.00071v1