Multivariate and functional covariates and conditional copulas
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10125963" target="_blank" >RIV/00216208:11320/12:10125963 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1214/12-EJS712" target="_blank" >http://dx.doi.org/10.1214/12-EJS712</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1214/12-EJS712" target="_blank" >10.1214/12-EJS712</a>
Alternative languages
Result language
angličtina
Original language name
Multivariate and functional covariates and conditional copulas
Original language description
In this paper the interest is to estimate the dependence between two variables conditionally upon a covariate, through copula modelling. In recent literature nonparametric estimators for conditional copula functions in case of a univariate covariate havebeen proposed. The aim of this paper is to nonparametrically estimate a conditional copula when the covariate takes on values in more complex spaces. We consider multivariate covariates and functional covariates. We establish weak convergence, and biasand variance properties of the proposed nonparametric estimators. We also briefly discuss nonparametric estimation of conditional association measures such as a conditional Kendalls tau. The case of functional covariates is of particular interest and challenge, both from theoretical as well as practical point of view. For this setting we provide an illustration with a real data example in which the covariates are spectral curves. A simulation study investigating the finite-sample perform
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/GPP201%2F11%2FP290" target="_blank" >GPP201/11/P290: Methods of statistical inference based on a distance matrix</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Electronic Journal of Statistics
ISSN
1935-7524
e-ISSN
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Volume of the periodical
6
Issue of the periodical within the volume
Neuveden
Country of publishing house
US - UNITED STATES
Number of pages
34
Pages from-to
1273-1306
UT code for WoS article
000306920500001
EID of the result in the Scopus database
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