Conditional copulas, association measures and their applications
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F11%3A10100436" target="_blank" >RIV/00216208:11320/11:10100436 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.csda.2010.11.010" target="_blank" >http://dx.doi.org/10.1016/j.csda.2010.11.010</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.csda.2010.11.010" target="_blank" >10.1016/j.csda.2010.11.010</a>
Alternative languages
Result language
angličtina
Original language name
Conditional copulas, association measures and their applications
Original language description
One way to model a dependence structure is through the copula function which is a mean to capture the dependence structure in the joint distribution of variables. Association measures such as Kendall's tau or Spearman's rho can be expressed as functionals of the copula. The dependence structure between two variables can be highly influenced by a covariate, and it is of real interest to know how this dependence structure changes with the value taken by the covariate. This motivates the need for introducing conditional copulas, and the associated conditional Kendall's tau and Spearman's rho association measures. After the introduction and motivation of these concepts, two nonparametric estimators for a conditional copula are proposed and discussed. Thennonparametric estimates for the conditional association measures are derived. A key issue is that these measures are now looked at as functions in the covariate.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/LC06024" target="_blank" >LC06024: Jaroslav Hájek Center for Theoretical and Applied Statistics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Computational Statistics and Data Analysis
ISSN
0167-9473
e-ISSN
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Volume of the periodical
55
Issue of the periodical within the volume
5
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
13
Pages from-to
1919-1932
UT code for WoS article
000287952900003
EID of the result in the Scopus database
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