Semiparametric estimation of conditional copulas
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Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 3716479 (Why is no real title available?)
- scientific article; zbMATH DE number 1220667 (Why is no real title available?)
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- An introduction to copulas.
- Beyond simplified pair-copula constructions
- Comparison of semiparametric and parametric methods for estimating copulas
- Conditional copulas, association measures and their applications
- Conditional empirical processes
- Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- Efficient estimation of a semiparametric dynamic copula model
- Estimating the density of a copula function
- Estimation and bootstrap with censored data in fixed design nonparametric regression
- Estimation of a conditional copula and association measures
- Frank's family of bivariate distributions
- Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing
- Local Likelihood Estimation
- Local Maximum Likelihood Estimation and Inference
- Local Polynomial Estimation in Multiparameter Likelihood Models
- Local Polynomial Kernel Regression for Generalized Linear Models and Quasi-Likelihood Functions
- Local Regression and Likelihood
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
- Semiparametric estimation in copula models
- The central limit theorem for dependent random variables
Cited in
(50)- Constraining kernel estimators in semiparametric copula mixture models
- Nonparametric estimation of the conditional tail copula
- Local robust estimation of the Pickands dependence function
- Nonparametric estimation of multivariate multiparameter conditional copulas
- Sparse M-estimators in semi-parametric copula models
- scientific article; zbMATH DE number 1276014 (Why is no real title available?)
- Nonparametric testing for no covariate effects in conditional copulas
- Bayesian Nonparametric Modeling of Conditional Multidimensional Dependence Structures
- Estimation of a conditional copula and association measures
- Efficient estimation of copula-based semiparametric Markov models
- About tests of the ``simplifying assumption for conditional copulas
- Semiparametric copula models applied to the decomposition of claim amounts
- Smooth copula-based estimation of the conditional density function with a single covariate
- Estimating non-simplified vine copulas using penalized splines
- Approximate Bayesian conditional copulas
- 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
- Investigation of the dependence structure in seismic hazard analysis: an application for Turkey
- Nonparametric kernel estimation of conditional copula density
- On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence
- Semiparametric Estimation in Copulas with the Same Marginals
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- When copulas and smoothing met: an interview with Irène Gijbels
- Single-index copulas
- Study of semiparametric copula models via divergences with bivariate censored data
- Semi-parametric copula-based models under non-stationarity
- Efficient estimation of a semiparametric dynamic copula model
- Score tests for covariate effects in conditional copulas
- SEMIPARAMETRIC ESTIMATION OF THE ERROR DISTRIBUTION IN MULTIVARIATE REGRESSION USING COPULAS
- Nonparametric estimation of copula functions for dependence modelling
- Discussion: Statistical models and methods for dependence in insurance data
- Parametric estimation of conditional copulas
- On copula-based conditional quantile estimators
- Additive models for conditional copulas
- Spline approximations to conditional Archimedean copula
- Sparse conditional copula models for structured output regression
- A censored copula model for micro-level claim reserving
- Statistical testing of covariate effects in conditional copula models
- Bootstrapping the conditional copula
- Omnibus test for covariate effects in conditional copula models
- Conditional empirical copula processes and generalized measures of association
- Time-Varying Mixture Copula Models with Copula Selection
- Bayesian inference for conditional copulas using Gaussian process single index models
- A wavelet-based estimation of the calibration function in conditional copula model
- New estimates and tests of independence in some copula models
- A semiparametric family of symmetric bivariate copulas
- Multivariate and functional covariates and conditional copulas
- Conditional copulas, association measures and their applications
- Estimation of a bivariate conditional copula when a variable is subject to random right censoring
- Beyond simplified pair-copula constructions
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