Please use this identifier to cite or link to this item: http://hdl.handle.net/1942/14399
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dc.contributor.authorOMELKA, Marek-
dc.contributor.authorVERAVERBEKE, Noel-
dc.contributor.authorGijbels, Irene-
dc.date.accessioned2012-11-26T07:23:27Z-
dc.date.available2012-11-26T07:23:27Z-
dc.date.issued2013-
dc.identifier.citationJOURNAL OF STATISTICAL PLANNING AND INFERENCE, 143 (1), p. 1-23-
dc.identifier.issn0378-3758-
dc.identifier.urihttp://hdl.handle.net/1942/14399-
dc.description.abstractThis paper is concerned with inference about the dependence or association between two random variables conditionally upon the given value of a covariate. A way to describe such a conditional dependence is via a conditional copula function. Nonparametric estimators for a conditional copula then lead to nonparametric estimates of conditional association measures such as a conditional Kendall's tau. The limiting distributions of nonparametric conditional copula estimators are rather involved. In this paper we propose a bootstrap procedure for approximating these distributions and their characteristics, and establish its consistency. We apply the proposed bootstrap procedure for constructing confidence intervals for conditional association measures, such as a conditional Blomqvist beta and a conditional Kendall's tau. The performances of the proposed methods are investigated via a simulation study involving a variety of models, ranging from models in which the dependence (weak or strong) on the covariate is only through the copula and not through the marginals, to models in which this dependence appears in both the copula and the marginal distributions. As a conclusion we provide practical recommendations for constructing bootstrap-based confidence intervals for the discussed conditional association measures. (C) 2012 Elsevier B.V. All rights reserved.-
dc.description.sponsorshipThe authors are grateful to the editors and referees for their very valuable comments which led to a considerable improvement of the manuscript. This work was supported by the IAP Research Networks P6/03 and P7/13 of the Belgian State (Belgian Science Policy). This work was started while Marek Omelka was a postdoctoral researcher at the Katholieke Universiteit Leuven and the Universiteit Hasselt within the IAP Research Network. The work of the first author was supported by the grant GACR P201/11/P290. The second author acknowledges support from research Grant MTM 2008-03129 of the Spanish Ministerio de Ciencia e Innovacion. The second author is also extraordinary professor at the North-West University, Potchefstroom, South Africa. The third author gratefully acknowledges support from the projects GOA/07/04 and GOA/12/014 of the Research Fund KULeuven, as well as support from the FWO-project G.0328.08N of the Flemish Science Foundation.-
dc.language.isoen-
dc.publisherELSEVIER SCIENCE BV-
dc.subject.otherStatistics & Probability; asymptotic representation; bootstrap; empirical copula process; fixed design; random design; smoothing; weak convergence-
dc.subject.otherAsymptotic representation; Bootstrap; Empirical copula process; Fixed design; Random design; Smoothing; Weak convergence-
dc.titleBootstrapping the conditional copula-
dc.typeJournal Contribution-
dc.identifier.epage23-
dc.identifier.issue1-
dc.identifier.spage1-
dc.identifier.volume143-
local.format.pages23-
local.bibliographicCitation.jcatA1-
dc.description.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] North West Univ, Unit BMI, Potchefstroom, South Africa. [Veraverbeke, Noel] Hasselt Univ, Ctr Stat, B-3590 Diepenbeek, Belgium. [Omelka, Marek] Charles Univ Prague, Fac Math & Phys, Dept Probabil & Stat, Prague 18675 8, Czech Republic. irene.gijbels@wis.kuleuven.be-
local.publisher.placeAMSTERDAM-
local.type.refereedRefereed-
local.type.specifiedArticle-
dc.bibliographicCitation.oldjcatA1-
dc.identifier.doi10.1016/j.jspi.2012.06.001-
dc.identifier.isi000309845700001-
item.accessRightsRestricted Access-
item.fulltextWith Fulltext-
item.validationecoom 2013-
item.contributorOMELKA, Marek-
item.contributorVERAVERBEKE, Noel-
item.contributorGijbels, Irene-
item.fullcitationOMELKA, Marek; VERAVERBEKE, Noel & Gijbels, Irene (2013) Bootstrapping the conditional copula. In: JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 143 (1), p. 1-23.-
crisitem.journal.issn0378-3758-
crisitem.journal.eissn1873-1171-
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