Nonparametric kernel estimation of conditional copula density

DOI10.1016/J.SPL.2024.110154MaRDI QIDQ6580284zbMATH OpenFDO

Authors Toihir Soulaimana Djaloud, Cheikh Tidiane Seck

Publication date 29 July 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2024.110154

zbMATH Keywords

asymptotic normalitykernel estimationplug-in estimatorquadratic mean convergenceconditional copula density

Mathematics Subject Classification ID

Density estimation (62G07) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12)

Recommendations

• A quantile-copula approach to conditional density estimation
• Smooth copula-based estimation of the conditional density function with a single covariate
• Nonparametric estimation of copula functions for dependence modelling
• Semiparametric Density Estimators Using Copulas
• Estimation of a conditional copula and association measures

Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• An Estimate Concerning the Kolmogroff Limit Distribution
• Approximation Theorems of Mathematical Statistics
• Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
• Conditional copulas, association measures and their applications
• Dependence Calibration in Conditional Copulas: A Nonparametric Approach
• Estimation of a conditional copula and association measures
• Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing
• Multivariate kernel smoothing and its applications
• Parametric estimation of conditional copulas
• Semiparametric estimation of conditional copulas

This page was built for publication: Nonparametric kernel estimation of conditional copula density

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6580284)