Semiparametric estimation of conditional copulas

DOI10.1016/j.jmva.2012.04.001zbMath1244.62040MaRDI QIDQ443773

Fentaw Abegaz, Noël Veraverbeke, Irène Gijbels

Publication date: 13 August 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.04.001

zbMATH Keywords

consistency; asymptotic normality; local polynomial fitting; semiparametric estimation

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62H12: Estimation in multivariate analysis

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62H20: Measures of association (correlation, canonical correlation, etc.)

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

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