Bootstrapping the conditional copula

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10139488" target="_blank" >RIV/00216208:11320/13:10139488 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1016/j.jspi.2012.06.001" target="_blank" >http://dx.doi.org/10.1016/j.jspi.2012.06.001</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.jspi.2012.06.001" target="_blank" >10.1016/j.jspi.2012.06.001</a>

Result language

angličtina

Original language name

Bootstrapping the conditional copula

Original language description

This 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. Nonparametricestimators 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 confi dence intervals for conditional association measures, suchas 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)

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

<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)

Publication year

2013

Confidentiality

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

Name of the periodical

Journal of Statistical Planning and Inference

ISSN

0378-3758

e-ISSN

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Volume of the periodical

143

Issue of the periodical within the volume

1

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

23

Pages from-to

1-23

UT code for WoS article

000309845700001

EID of the result in the Scopus database

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