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
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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/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
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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