Conditional copulas, association measures and their applications
作者： Irène Gijbels , Noël Veraverbeke , Marel Omelka
DOI: 10.1016/J.CSDA.2010.11.010
关键词:
摘要: One way to model a dependence structure is through the copula function which mean capture in joint distribution of variables. Association measures such as Kendall's tau or Spearman's rho can be expressed functionals copula. The between two variables highly influenced by covariate, and it real interest know how this changes with value taken covariate. This motivates need for introducing conditional copulas, associated association measures. After introduction motivation these concepts, nonparametric estimators are proposed discussed. Then estimates derived. A key issue that now looked at functions performances all investigated via simulation study also includes data-driven algorithm choosing smoothing parameters. usefulness methods illustrated on data examples.
core.ac.uk
elsevier.com
acm.org 
sci-hub.se 参考文章(20)
NOËL VERAVERBEKE, MAREK OMELKA, IRÈNE GIJBELS, Estimation of a Conditional Copula and Association Measures Scandinavian Journal of Statistics. ,vol. 38, pp. 766- 780 ,(2011) , 10.1111/J.1467-9469.2011.00744.X
Frédéric Ferraty, Philippe Vieu, Nonparametric functional data analysis : theory and practice Springer. ,(2006)
Jianqing Fan, Irène Gijbels, Local polynomial modelling and its applications ,(1994)
E. A. Nadaraya, On Estimating Regression Theory of Probability and Its Applications. ,vol. 9, pp. 141- 142 ,(1964) , 10.1137/1109020
Peter Gaenssler, Winfried Stute, Conditional empirical processes Annals of Statistics. ,vol. 14, pp. 638- 647 ,(1986) , 10.1007/978-3-0348-6269-1_4
Michael Brockmann, Theo Gasser, Eva Herrmann, Locally Adaptive Bandwidth Choice for Kernel Regression Estimators Journal of the American Statistical Association. ,vol. 88, pp. 1302- 1309 ,(1993) , 10.1080/01621459.1993.10476411
Christian M. Hafner, Olga Reznikova, Efficient estimation of a semiparametric dynamic copula model Computational Statistics & Data Analysis. ,vol. 54, pp. 2609- 2627 ,(2010) , 10.1016/J.CSDA.2010.01.013
Zudi Lu, Dag Tjøstheim, Qiwei Yao, Spatial smoothing, Nugget effect and infill asymptotics Statistics & Probability Letters. ,vol. 78, pp. 3145- 3151 ,(2008) , 10.1016/J.SPL.2008.06.002
Gunky Kim, Mervyn J. Silvapulle, Paramsothy Silvapulle, Comparison of semiparametric and parametric methods for estimating copulas Computational Statistics & Data Analysis. ,vol. 51, pp. 2836- 2850 ,(2007) , 10.1016/J.CSDA.2006.10.009
Jong-Min Kim, Yoon-Sung Jung, Taeryon Choi, Engin A. Sungur, Partial correlation with copula modeling Computational Statistics & Data Analysis. ,vol. 55, pp. 1357- 1366 ,(2011) , 10.1016/J.CSDA.2010.09.025