A heteroscedasticity diagnostic of a regression analysis with copula dependent random variables

DOI10.1214/22-BJPS532zbMath1503.62056MaRDI QIDQ2673841

Radko Mesiar, Ayyub Sheikhi, Fereshteh Arad

Publication date: 13 June 2022

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

heteroscedasticity; regression; Gaussian copula; t-copula

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62J02: General nonlinear regression

Uses Software

• gcmr
• VineCopula