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http://hdl.handle.net/1942/13000| Title: | Estimation of a Conditional Copula and Association Measures | Authors: | VERAVERBEKE, Noel OMELKA, Marek Gijbels, Irene |
Issue Date: | 2011 | Publisher: | WILEY-BLACKWELL | Source: | SCANDINAVIAN JOURNAL OF STATISTICS, 38 (4), p. 766-780 | Abstract: | This paper is concerned with studying the dependence structure between two random variables Y(1) and Y(2) conditionally upon a covariate X. The dependence structure is modelled via a copula function, which depends on the given value of the covariate in a general way. Gijbels et. al. (Comput. Statist. Data Anal., 55, 2011, 1919) suggested two non-parametric estimators of the conditional copula and investigated their numerical performances. In this paper we establish the asymptotic properties of the proposed estimators as well as conditional association measures derived from them. Practical recommendations for their use are then discussed. | Notes: | [Gijbels, Irene] Katholieke Univ Leuven, Dept Math, B-3001 Heverlee, Belgium. [Gijbels, Irene] Katholieke Univ Leuven, Leuven Stat Res Ctr LStat, B-3001 Heverlee, Belgium. [Veraverbeke, Noel] Hasselt Univ, Ctr Stat, Diepenbeek, Belgium. [Omelka, Marek] Charles Univ Prague, Dept Probabil & Stat, Fac Math & Phys, Prague, Czech Republic. irene.gijbels@wis.kuleuven.be | Keywords: | asymptotic representation; conditional Kendall's tau; empirical copula process; fixed design; random design; smoothing; weak convergence;Statistics & Probability; asymptotic representation; conditional Kendrall's tau; empirical copula process; fixed design; random design; smoothing; weak convergence | Document URI: | http://hdl.handle.net/1942/13000 | ISSN: | 0303-6898 | e-ISSN: | 1467-9469 | DOI: | 10.1111/j.1467-9469.2011.00744.x | ISI #: | 000297841000009 | Category: | A1 | Type: | Journal Contribution | Validations: | ecoom 2013 |
| Appears in Collections: | Research publications |
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| Estimation of a conditional copula and association measures.pdf Restricted Access | Published version | 247.04 kB | Adobe PDF | View/Open Request a copy |
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