Estimation of a Copula when a Covariate Affects only Marginal Distributions

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Estimation of a Copula when a Covariate Affects only Marginal Distributions

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Estimation of a Copula when a Covariate Affects only Marginal Distributions

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BA - Obecná matematika

OECD FORD obor

—

Projekt

<a href="/cs/project/GJ15-04774Y" target="_blank" >GJ15-04774Y: Modelování závislosti veličin pomocí kopulí za přítomnosti kovariát</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název periodika

Scandinavian Journal of Statistics

ISSN

0303-6898

e-ISSN

—

Svazek periodika

42

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

18

Strana od-do

1109-1126

Kód UT WoS článku

000368246600013

EID výsledku v databázi Scopus

2-s2.0-84955199036