The bandwidth is selected by minimizing the MISE using the Frank copula as the reference family. The copula parameter is set by inversion of Kendall's tau. See Nagler (2014) for details.
bw_mr(udata)
| udata | data. |
|---|
A scalar bandwidth parameter.
To speed things up, optimal bandwidths have been pre-calculated on a grid of tau values.
Nagler, T. (2014). Kernel Methods for Vine Copula Estimation. Master's Thesis, Technische Universitaet Muenchen, https://mediatum.ub.tum.de/node?id=1231221