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http://hdl.handle.net/1942/13844
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DC Field | Value | Language |
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dc.contributor.author | Abegaz, Fentaw | - |
dc.contributor.author | Gijbels, Irène | - |
dc.contributor.author | VERAVERBEKE, Noel | - |
dc.date.accessioned | 2012-07-25T09:58:06Z | - |
dc.date.available | 2012-07-25T09:58:06Z | - |
dc.date.issued | 2012 | - |
dc.identifier.citation | JOURNAL OF MULTIVARIATE ANALYSIS, 110, p. 43-73 | - |
dc.identifier.issn | 0047-259X | - |
dc.identifier.uri | http://hdl.handle.net/1942/13844 | - |
dc.description.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. | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER INC | - |
dc.subject.other | Asymptotic normality; Conditional copula; Consistency; Local polynomial fitting; Semiparametric estimation | - |
dc.subject.other | Statistics & Probability; Asymptotic normality; Conditional copula; Consistency; Local polynomial fitting; Semiparametric estimation | - |
dc.title | Semiparametric estimation of conditional copulas | - |
dc.type | Journal Contribution | - |
dc.identifier.epage | 73 | - |
dc.identifier.spage | 43 | - |
dc.identifier.volume | 110 | - |
local.format.pages | 31 | - |
local.bibliographicCitation.jcat | A1 | - |
dc.description.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 | - |
local.publisher.place | SAN DIEGO | - |
local.type.refereed | Refereed | - |
local.type.specified | Article | - |
dc.bibliographicCitation.oldjcat | A1 | - |
dc.identifier.doi | 10.1016/j.jmva.2012.04.001 | - |
dc.identifier.isi | 000305817500005 | - |
item.fullcitation | Abegaz, Fentaw; Gijbels, Irène & VERAVERBEKE, Noel (2012) Semiparametric estimation of conditional copulas. In: JOURNAL OF MULTIVARIATE ANALYSIS, 110, p. 43-73. | - |
item.fulltext | With Fulltext | - |
item.validation | ecoom 2013 | - |
item.contributor | Abegaz, Fentaw | - |
item.contributor | Gijbels, Irène | - |
item.contributor | VERAVERBEKE, Noel | - |
item.accessRights | Restricted Access | - |
crisitem.journal.issn | 0047-259X | - |
Appears in Collections: | Research publications |
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File | Description | Size | Format | |
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abegaz 1.pdf Restricted Access | Published version | 621.25 kB | Adobe PDF | View/Open Request a copy |
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