Estimation of a conditional copula and association measures

DOI10.1111/J.1467-9469.2011.00744.XzbMATH Open1246.62092OpenAlexW1487151803WikidataQ61719255 ScholiaQ61719255MaRDI QIDQ2911697FDOQ2911697

Authors: Noël Veraverbeke, Marek Omelka, Irène Gijbels 

Publication date: 1 September 2012

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

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2011.00744.x

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zbMATH Keywords

smoothingconditional Kendall's tauweak convergenceempirical copula processrandom designsasymptotic representationfixed designs

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

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• PARTIAL RANK CORRELATION

Cited In (75)

• In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes
• Semiparametric estimation of conditional copulas
• About tests of the ``simplifying assumption for conditional copulas
• Estimating non-simplified vine copulas using penalized splines
• Conditional independence testing via weighted partial copulas
• Inference on local causality and tests of non-causality in time series
• Simplified R-vine based forward regression
• On the large-sample behavior of two estimators of the conditional copula under serially dependent data
• Estimation of a copula when a covariate affects only marginal distributions
• Selection of mixed copula for association modeling with tied observations
• Score tests for covariate effects in conditional copulas
• Nonparametric estimation of copula-based measures of multivariate association from contingency tables
• A classification point-of-view about conditional Kendall's tau
• Bayesian inference for conditional copulas using Gaussian process single index models
• Single-index copulas
• Study of partial and average conditional Kendall's tau
• On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
• Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims
• Parametric copula adjusted for non- and semiparametric regression
• A copula approach for dependence modeling in multivariate nonparametric time series
• Vine copula approximation: a generic method for coping with conditional dependence
• On copula-based conditional quantile estimators
• Rank correlation under categorical confounding
• Quantile Association Regression Models
• Multiplier bootstrap methods for conditional distributions
• Nonparametric estimation of the conditional tail copula
• Correcting for sample selection bias in Bayesian distributional regression models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Conditional association
• Conditional copulas, association measures and their applications
• Parametric estimation of conditional copulas
• Generalized Additive Models for Pair-Copula Constructions
• Approximate Bayesian conditional copulas
• Estimation of a bivariate conditional copula when a variable is subject to random right censoring
• On nonparametric tests of multivariate meta-ellipticity
• Estimating the Association Parameter for Copula Models Under Dependent Censoring
• Bias correction in conditional multivariate extremes
• On Kendall's regression
• Nonparametric estimation of copula functions for dependence modelling
• Visualizing association structure in bivariate copulas using new dependence function
• Nonparametric testing for no covariate effects in conditional copulas
• Comments on: Inference in multivariate Archimedean copula models
• Statistical testing of covariate effects in conditional copula models
• Time-varying extreme value dependence with application to leading European stock markets
• On the weak convergence of the empirical conditional copula under a simplifying assumption
• Conditional empirical copula processes and generalized measures of association
• A simple measure of conditional dependence
• Model robust inference with two-stage maximum likelihood estimation for copulas
• Multivariate and functional covariates and conditional copulas
• Partial and average copulas and association measures
• Flexible modeling based on copulas in nonparametric median regression
• Nonparametric estimation of risk ratios for bivariate data
• Nonparametric estimation of multivariate multiparameter conditional copulas
• Testing conditional multivariate rank correlations: the effect of institutional quality on factors influencing competitiveness
• General tests of conditional independence based on empirical processes indexed by functions
• Measures of conditional dependence for nonlinearity, asymmetry and beyond
• A wavelet-based estimation of the calibration function in conditional copula model
• Testing tail monotonicity by constrained copula estimation
• Nonparametric kernel estimation of conditional copula density
• When copulas and smoothing met: an interview with Irène Gijbels
• Modeling conditional reference regions: application to glycemic markers
• The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach
• A flexible and robust method for assessing conditional association and conditional concordance
• Tie-Break Bootstrap for Nonparametric Rank Statistics
• Nearest neighbor empirical processes
• On Azadkia-Chatterjee's conditional dependence coefficient
• Median and quantile conditional copulas
• A survey of some recent developments in measures of association
• Dynamic asset correlations based on vines
• Nonparametric inference for copulas and measures of dependence under length-biased sampling and informative censoring
• Semiparametric copula models applied to the decomposition of claim amounts
• Discussion: Statistical models and methods for dependence in insurance data
• Additive models for conditional copulas
• Spline approximations to conditional Archimedean copula

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