Semi-parametric copula-based models under non-stationarity

DOI10.1016/J.JMVA.2019.03.007MaRDI QIDQ142233zbMATH OpenOpenAlexWikidataFDO

Authors Bouchra R. Nasri, Bruno N. Rémillard, Taoufik Bouezmarni, Bouchra R. Nasri, Bruno Rémillard, Taoufik Bouezmarni

Publication date September 2019

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2019.03.007

zbMATH Keywords

covariatesconditional distributioncopulasnon-stationarity

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

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Cites work

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• Comparison of specification tests for GARCH models
• Copula-Based Regression Estimation and Inference
• Copula-based dynamic models for multivariate time series
• D-vine copula based quantile regression
• Goodness-of-fit tests for copulas: A review and a power study
• Nonparametric tests for change-point detection à la Gombay and Horváth
• On copula-based conditional quantile estimators
• On the family of multivariate chi-square copulas
• Remarks on a Multivariate Transformation
• Serial independence tests for innovations of conditional mean and variance models
• Single-index copulas
• Some comments on copula-based regression
• Statistical methods for financial engineering
• Tests of independence and randomness based on the empirical copula process
• Weak convergence and empirical processes. With applications to statistics

Cited in

(9)

• scientific article; zbMATH DE number 7255570 (Why is no real title available?)
• Copula‐based semiparametric models for spatiotemporal data
• NCSCopula
• On non-central squared copulas
• Time-Varying Mixture Copula Models with Copula Selection
• Stationary vine copula models for multivariate time series
• Estimation of copula-based semiparametric time series models
• Efficient estimation of a semiparametric dynamic copula model
• Dynamic copulas for monotonic dependence change in time series

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