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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

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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BA - General mathematics

  • OECD FORD branch

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

  • e-ISSN

  • 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