Omnibus test for covariate effects in conditional copula models
DOI10.1016/J.JMVA.2021.104804zbMATH Open1476.62092OpenAlexW3197468010MaRDI QIDQ2237822FDOQ2237822
Authors: Marek Omelka, Irène Gijbels, Noël Veraverbeke 
Publication date: 28 October 2021
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2021.104804
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asymptotic distributionconditional copulasimplifying assumptionU-statisticstesting for parametric effects
Nonparametric estimation (62G05) Applications of statistics in engineering and industry; control charts (62P30) Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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- Statistical testing of covariate effects in conditional copula models
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Cited In (9)
- About tests of the ``simplifying assumption for conditional copulas
- Score tests for covariate effects in conditional copulas
- Nonparametric testing for no covariate effects in conditional copulas
- Statistical testing of covariate effects in conditional copula models
- Testing for equality between conditional copulas given discretized conditioning events
- A linear model-based test for the heterogeneity of conditional correlations
- A hybrid omnibus test for generalized semiparametric single‐index models with high‐dimensional covariate sets
- A copula-model based semiparametric interaction test under the case-control design
- Testing conditional multivariate rank correlations: the effect of institutional quality on factors influencing competitiveness
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