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http://hdl.handle.net/1942/20114
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DC Field | Value | Language |
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dc.contributor.author | Gijbels, Irène | - |
dc.contributor.author | OMELKA, Marek | - |
dc.contributor.author | VERAVERBEKE, Noel | - |
dc.date.accessioned | 2015-12-23T08:56:01Z | - |
dc.date.available | 2015-12-23T08:56:01Z | - |
dc.date.issued | 2015 | - |
dc.identifier.citation | Scandinavian journal of statistics, 42(4), p. 1109-1126 | - |
dc.identifier.issn | 0303-6898 | - |
dc.identifier.uri | http://hdl.handle.net/1942/20114 | - |
dc.description.abstract | This paper is concerned with studying the dependence structure between two random variables Y1 and Y2 in the presence of a covariate X, which affects both marginal distributions but not the dependence structure. This is reflected in the property that the conditional copula of Y1 and Y2 given X, does not depend on the value of X. This latter independence often appears as a simplifying assumption in pair-copula constructions. We introduce a general estimator for the copula in this specific setting and establish its consistency. Moreover, we consider some special cases, such as parametric or nonparametric location-scale models for the effect of the covariate X p on the marginals of Y1 and Y2 and show that in these cases, weak convergence of the estimator, at n-rate, holds. The theoretical results are illustrated by simulations and a real data example. | - |
dc.description.sponsorship | The authors thank the editor and two referees for their very valuable comments, which led to a considerable improvement of the original paper. This research was supported by the IAP Research Network P7/06 of the Belgian State (Belgian Science Policy). The first author gratefully acknowledges support from the Research Fund of the KU Leuven (GOA/12/014 project). The second author gratefully acknowledges support from the grant GACR 15-04774Y. The third author is an extraordinary professor at the North-West University, Potchefstroom, South Africa. | - |
dc.language.iso | en | - |
dc.rights | © 2015 Board of the Foundation of the Scandinavian Journal of Statistics. Published by Wiley Publishing Ltd. | - |
dc.subject.other | asymptotic representation; consistency; empirical copula process; random design; simplifying assumption; smoothing; weak convergence | - |
dc.title | Estimation of a copula when a covariate affects only marginal distributions | - |
dc.type | Journal Contribution | - |
dc.identifier.epage | 1126 | - |
dc.identifier.issue | 4 | - |
dc.identifier.spage | 1109 | - |
dc.identifier.volume | 42 | - |
local.bibliographicCitation.jcat | A1 | - |
local.type.refereed | Refereed | - |
local.type.specified | Article | - |
dc.identifier.doi | 10.1111/sjos.12154 | - |
dc.identifier.isi | 000368246600013 | - |
item.validation | ecoom 2017 | - |
item.contributor | Gijbels, Irène | - |
item.contributor | OMELKA, Marek | - |
item.contributor | VERAVERBEKE, Noel | - |
item.accessRights | Restricted Access | - |
item.fullcitation | Gijbels, Irène; OMELKA, Marek & VERAVERBEKE, Noel (2015) Estimation of a copula when a covariate affects only marginal distributions. In: Scandinavian journal of statistics, 42(4), p. 1109-1126. | - |
item.fulltext | With Fulltext | - |
crisitem.journal.issn | 0303-6898 | - |
crisitem.journal.eissn | 1467-9469 | - |
Appears in Collections: | Research publications |
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Gijbels_et_al-2015-Scandinavian_Journal_of_Statistics.pdf Restricted Access | Published version | 893.82 kB | Adobe PDF | View/Open Request a copy |
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