Testing for equality between conditional copulas given discretized conditioning events

DOI10.48550/arXiv.2008.09498arXiv2008.09498MaRDI QIDQ110517

Alexis Derumigny, Jean-David Fermanian, Aleksey Min, Jean-David Fermanian, Aleksey Min, Alexis Derumigny

Publication date: 21 August 2020

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.09498

zbMATH Keywords

decision tree; conditional copula; conditional Kendall's tau; simplifying assumption

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62G20: Asymptotic properties of nonparametric inference

62H20: Measures of association (correlation, canonical correlation, etc.)

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62-XX: Statistics