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Estimation of a Copula when a Covariate Affects only Marginal Distributions

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10318296" target="_blank" >RIV/00216208:11320/15:10318296 - isvavai.cz</a>

  • Result on the web

    <a href="http://dx.doi.org/10.1111/sjos.12154" target="_blank" >http://dx.doi.org/10.1111/sjos.12154</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1111/sjos.12154" target="_blank" >10.1111/sjos.12154</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Estimation of a Copula when a Covariate Affects only Marginal Distributions

  • Original language description

    This paper is concerned with studying the dependence structure between two random variables Y-1 and Y-2 in the presence of a covariate X, which affects both marginal distributions but not the dependence structure. This is reflected in the property that the conditional copula of Y-1 and Y-2 given X, does not depend on the value of X. This latter independence often appears as a simplifying assumption in pair-copula constructions. We introduce a general estimator for the copula in this specific setting andestablish its consistency. Moreover, we consider some special cases, such as parametric or nonparametric location-scale models for the effect of the covariate X on the marginals of Y-1 and Y-2 and show that in these cases, weak convergence of the estimator, at root n-rate, holds. The theoretical results are illustrated by simulations and a real data example.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    BA - General mathematics

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GJ15-04774Y" target="_blank" >GJ15-04774Y: Using copulas for modelling dependency structure of variables in the presence of covariates</a><br>

  • Continuities

    I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2015

  • Confidentiality

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

Data specific for result type

  • Name of the periodical

    Scandinavian Journal of Statistics

  • ISSN

    0303-6898

  • e-ISSN

  • Volume of the periodical

    42

  • Issue of the periodical within the volume

    4

  • Country of publishing house

    GB - UNITED KINGDOM

  • Number of pages

    18

  • Pages from-to

    1109-1126

  • UT code for WoS article

    000368246600013

  • EID of the result in the Scopus database

    2-s2.0-84955199036