Inference for elliptical copula multivariate response regression models

DOI10.1214/19-EJS1534zbMath1418.62227OpenAlexW2934073897MaRDI QIDQ2414484

Yue Zhao, Christian Genest

Publication date: 17 May 2019

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

Full work available at URL: https://projecteuclid.org/euclid.ejs/1553911236

zbMATH Keywords

copulaKendall's tauregressionsparsityDantzig selectorLasso\(U\)-statisticnormal-score rank correlationVan der Waerden correlation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (4)

Parametric copula adjusted for non- and semiparametric regression ⋮ Copula modeling from Abe Sklar to the present day ⋮ Identifiability and estimation of meta-elliptical copula generators ⋮ On nonparametric tests of multivariate meta-ellipticity

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