Estimation of a Conditional Copula and Association Measures

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F11%3A10100435" target="_blank" >RIV/00216208:11320/11:10100435 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1111/j.1467-9469.2011.00744.x" target="_blank" >http://dx.doi.org/10.1111/j.1467-9469.2011.00744.x</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1111/j.1467-9469.2011.00744.x" target="_blank" >10.1111/j.1467-9469.2011.00744.x</a>

Result language

angličtina

Original language name

Estimation of a Conditional Copula and Association Measures

Original language description

This paper is concerned with studying the dependence structure between two random variables Y1 and Y2 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. (2011) suggested two nonparametric 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.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BA - General mathematics

OECD FORD branch

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Project

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Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2011

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Scandinavian Journal of Statistics

ISSN

0303-6898

e-ISSN

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Volume of the periodical

38

Issue of the periodical within the volume

4

Country of publishing house

GB - UNITED KINGDOM

Number of pages

15

Pages from-to

766-780

UT code for WoS article

000297841000009

EID of the result in the Scopus database

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