Nonparametric estimation of multivariate multiparameter conditional copulas
DOI10.1016/J.JKSS.2016.08.003zbMATH Open1360.62182OpenAlexW2528537845MaRDI QIDQ508116FDOQ508116
Authors: Jinguan Lin, Kongsheng Zhang, Yanyong Zhao 
Publication date: 9 February 2017
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2016.08.003
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asymptotic normalityconditional copulalocal linear smoothingNewton-Raphson methodcalibration functionlife expectancies data set
Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Goodness-of-fit tests for copulas: A review and a power study
- Title not available (Why is that?)
- An introduction to copulas.
- Estimation of a copula when a covariate affects only marginal distributions
- A review of copula models for economic time series
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Modeling longitudinal data using a pair-copula decomposition of serial dependence
- Efficient Estimation and Inferences for Varying-Coefficient Models
- Conditional copulas, association measures and their applications
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- Semiparametric estimation of conditional copulas
- Estimation of copula models with discrete margins via Bayesian data augmentation
- A new class of copulas involved geometric distribution: estimation and applications
Cited In (12)
- Estimation of multivariate conditional-tail-expectation using Kendall's process
- Estimation and inference of the joint conditional distribution for multivariate longitudinal data using nonparametric copulas
- Nonparametric estimation of copula-based measures of multivariate association from contingency tables
- Weighted least-squares inference for multivariate copulas based on dependence coefficients
- Nonparametric estimation of copula regression models with discrete outcomes
- Bayesian nonparametric estimation of a copula
- Copulae: an overview and recent developments
- Nonparametric maximum likelihood estimation for dependent truncation data based on copulas
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- Bayesian nonparametric inference for a multivariate copula function
- Non-parametric estimation of copula parameters: testing for time-varying correlation
- Non-parametric estimation of copula based mutual information
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