CondCopulas
From MaRDI portal
Provides functions for the estimation of conditional copulas models, various estimators of conditional Kendall's tau (proposed in Derumigny and Fermanian (2019a, 2019b, 2020) <doi:10.1515/demo-2019-0016>, <doi:10.1016/j.csda.2019.01.013>, <doi:10.1016/j.jmva.2020.104610>), and test procedures for the simplifying assumption (proposed in Derumigny and Fermanian (2017) <doi:10.1515/demo-2017-0011> and Derumigny, Fermanian and Min (2022) <doi:10.1002/cjs.11742>).
- On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior
- A classification point-of-view about conditional Kendall’s tau
- On Kendall’s regression
- About tests of the “simplifying” assumption for conditional copulas
- Testing for equality between conditional copulas given discretized conditioning events
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