Bernstein estimator for unbounded copula densities

Bouezmarni, Taoufik El Ghouch, Anouar [UCL] Taamouti, Abderrahim

Copulas are widely used for modeling the dependence structure of multivariate data. Many methods for estimating the copula density functions are investigated. In this paper, we study the asymptotic properties of the Bernstein estimator for unbounded copula density functions. We show that the estimator converges to infinity at the corner and we establish its relative convergence when the copula density is unbounded. Also, we provide the uniform strong consistency of the estimator on every compact in the interior region. We investigate the finite sample performance of the estimator via an extensive simulation study and we compare the Bernstein copula density estimator with other nonparametric methods. Finally, we consider an empirical application where the asymmetric dependence between international equity markets (US, Canada, UK, and France) is examined.