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http://hdl.handle.net/1942/13844
Title: | Semiparametric estimation of conditional copulas | Authors: | Abegaz, Fentaw Gijbels, Irène VERAVERBEKE, Noel |
Issue Date: | 2012 | Publisher: | ELSEVIER INC | Source: | JOURNAL OF MULTIVARIATE ANALYSIS, 110, p. 43-73 | Abstract: | The manner in which two random variables influence one another often depends on covariates. A way to model this dependence is via a conditional copula function. This paper contributes to the study of semiparametric estimation of conditional copulas by starting from a parametric copula function in which the parameter varies with a covariate, and leaving the marginals unspecified. Consequently, the unknown parts in the model are the parameter function and the unknown marginals. The authors use a local pseudo-likelihood with nonparametrically estimated marginals approximating the unknown parameter function locally by a polynomial. Under this general setting, they prove the consistency of the estimators of the parameter function as well as its derivatives : they also establish asymptotic normality. Furthermore, they derive an expression for the theoretical optimal bandwidth and discuss practical bandwidth selection via a simulation study and a real-data case. | Notes: | [Abegaz, Fentaw; Gijbels, Irene] Katholieke Univ Leuven, Dept Math, Louvain, Belgium. [Abegaz, Fentaw; Gijbels, Irene] Katholieke Univ Leuven, Leuven Stat Res Ctr LStat, Louvain, Belgium. [Abegaz, Fentaw] Univ Addis Ababa, Addis Ababa, Ethiopia. [Veraverbeke, Noel] Univ Hasselt, Ctr Stat, Hasselt, Belgium. irene.gijbels@wis.kuleuven.be | Keywords: | Asymptotic normality; Conditional copula; Consistency; Local polynomial fitting; Semiparametric estimation;Statistics & Probability; Asymptotic normality; Conditional copula; Consistency; Local polynomial fitting; Semiparametric estimation | Document URI: | http://hdl.handle.net/1942/13844 | ISSN: | 0047-259X | DOI: | 10.1016/j.jmva.2012.04.001 | ISI #: | 000305817500005 | Category: | A1 | Type: | Journal Contribution | Validations: | ecoom 2013 |
Appears in Collections: | Research publications |
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