Nonparametric estimation of multivariate multiparameter conditional copulas

DOI10.1016/J.JKSS.2016.08.003zbMath1360.62182OpenAlexW2528537845MaRDI QIDQ508116

Yan-Yong Zhao, Jin-Guan Lin, Kong-Sheng Zhang

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

zbMATH Keywords

asymptotic normalityNewton-Raphson methodlocal linear smoothingconditional copulacalibration functionlife expectancies data set

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

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• A review of copula models for economic time series
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• An introduction to copulas.
• Conditional copulas, association measures and their applications
• A new class of copulas involved geometric distribution: estimation and applications
• Dependence Calibration in Conditional Copulas: A Nonparametric Approach
• Estimation of a Copula when a Covariate Affects only Marginal Distributions
• Efficient Estimation and Inferences for Varying-Coefficient Models
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Estimation of Copula Models With Discrete Margins via Bayesian Data Augmentation
• Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence

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