Score tests for covariate effects in conditional copulas
From MaRDI portal
Publication:2011520
DOI10.1016/j.jmva.2017.05.001zbMath1368.62149WikidataQ61719233 ScholiaQ61719233MaRDI QIDQ2011520
Michal Pešta, Marek Omelka, Irène Gijbels, Noël Veraverbeke
Publication date: 3 August 2017
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2017.05.001
specification test; conditional copula; Rao score test; covariate effect; parametric dependence structure
62G10: Nonparametric hypothesis testing
62H15: Hypothesis testing in multivariate analysis
62H20: Measures of association (correlation, canonical correlation, etc.)
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Uses Software
Cites Work
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