Score tests for covariate effects in conditional copulas
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Publication:2011520
Recommendations
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Cites work
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- An introduction to copulas.
- Beyond simplified pair-copula constructions
- Conditional copulas, association measures and their applications
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- Estimation of a conditional copula and association measures
- Estimation of a copula when a covariate affects only marginal distributions
- Functions of Order Statistics
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 5604036 (Why is no real title available?)
- scientific article; zbMATH DE number 3738723 (Why is no real title available?)
- scientific article; zbMATH DE number 490141 (Why is no real title available?)
- scientific article; zbMATH DE number 1104922 (Why is no real title available?)
- Multivariate and functional covariates and conditional copulas
- Nonparametric testing for no covariate effects in conditional copulas
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Partial and average copulas and association measures
- Semiparametric estimation in copula models
- Semiparametric estimation of conditional copulas
- Simplified pair copula constructions -- limitations and extensions
- Statistical testing of covariate effects in conditional copula models
- Weak convergence and empirical processes. With applications to statistics
Cited in
(12)- Testing for equality between conditional copulas given discretized conditioning events
- About tests of the ``simplifying assumption for conditional copulas
- Study of partial and average conditional Kendall's tau
- Omnibus test for covariate effects in conditional copula models
- A copula approach for dependence modeling in multivariate nonparametric time series
- Testing conditional multivariate rank correlations: the effect of institutional quality on factors influencing competitiveness
- Score test for varying copula parameter in bivariate financial time series
- Score tests for association under response-dependent sampling designs for expensive covariates
- Statistical testing of covariate effects in conditional copula models
- Nonparametric testing for no covariate effects in conditional copulas
- Parametric estimation of conditional Archimedean copula generators for censored data
- Testing the simplifying assumption in high-dimensional vine copulas
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