Some new results on the empirical copula estimator with applications

DOI10.1016/J.SPL.2013.03.027MaRDI QIDQ383948zbMATH OpenOpenAlexFDO

Authors James Allison, Jan Swanepoel

Publication date 6 December 2013

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2013.03.027

zbMATH Keywords

Bernsteinranks

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Recommendations

• Large sample behavior of the Bernstein copula estimator
• The empirical beta copula
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• Large sample properties of nonparametric copula estimators under bivariate censoring
• Rank-based inference for bivariate extreme-value copulas

Cites work

• An introduction to copulas.
• Estimating value at risk of portfolio by conditional copula-GARCH method
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3656971 (Why is no real title available?)
• scientific article; zbMATH DE number 3752025 (Why is no real title available?)
• Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing
• Large sample behavior of the Bernstein copula estimator
• On the asymptotic joint normality of quantiles from a multivariate distribution
• Semiparametric estimation in copula models
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• The frailty model.
• Weak convergence of empirical copula processes

Cited in

(9)

• On the copula correlation ratio and its generalization
• Copulas with continuous, strictly increasing singular conditional distribution functions
• Bernstein estimation for a copula derivative with application to conditional distribution and regression functionals
• SOME NEW RESULTS ON WEIGHTED GEOMETRIC MEAN FOR COPULAS
• Estimating checkerboard approximations with sample d-copulas
• An empirical central limit theorem with applications to copulas under weak dependence
• Visualization and Assessment of Copula Symmetry
• Local max-sum equivalence of random variables with Bernstein copula
• On the covariance of the asymptotic empirical copula process

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