Empirical copula for missing observations
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10159514" target="_blank" >RIV/00216208:11320/13:10159514 - isvavai.cz</a>
Result on the web
<a href="https://mme2013.vspj.cz/about-conference/conference-proceedings" target="_blank" >https://mme2013.vspj.cz/about-conference/conference-proceedings</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Empirical copula for missing observations
Original language description
Empirical copula (EC) is a rank-based method for estimating the dependence structure of a random vector, which is convenient when someone wants to estimate non-parametrically the whole distribution of the random vector in two separated stages: rst the margins and then the dependence structure fully represented by a copula. The discrete nature of an EC can be successively smoothed using Bernstein polynomials approximation to obtain di fferentiable estimate of underlying copula or its density. In practice, however, some components of some observations are often missing. In this case the marginal distributions of individual vector components can be estimated without any changes using all available information, whilst the second step is not so straightforward. One can employ only complete observations to capture the dependence but then the mapping of estimated copula on individual marginal quantiles is not reflected appropriately. In the article the author suggests to generalize the classi
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA13-01930S" target="_blank" >GA13-01930S: Robust methods for nonstandard situations, their diagnostics and implementations</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 31st International Conference on Mathematical Methods in Economics 2013
ISBN
978-80-87035-76-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
482-487
Publisher name
College of Polytechnics, Jihlava, Czech Republic
Place of publication
Jihlava
Event location
Jihlava
Event date
Sep 11, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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