The bandwidth is selected by a rule of thumb. It approximately minimizes
the MISE of the Gaussian copula on the transformed domain. The usual normal
reference matrix is multiplied by 1.25 to account for the higher variance
on the copula level.

bw_t(udata)

## Arguments

## Value

A `2 x 2`

bandwidth matrix.

## Details

The formula is
$$1.25 n^{-1 / 6} \hat{\Sigma}^{1/2},$$
where \(\hat{Sigma}\) is empirical covariance matrix of the transformed
random vector.

## References

Nagler, T. (2014).
Kernel Methods for Vine Copula Estimation.
Master's Thesis, Technische Universitaet Muenchen,
https://mediatum.ub.tum.de/node?id=1231221