Nonparametric estimation of multivariate multiparameter conditional copulas

DOI10.1016/J.JKSS.2016.08.003MaRDI QIDQ508116zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic normalityconditional copulalocal linear smoothingNewton-Raphson methodcalibration functionlife expectancies data set

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• A new class of copulas involved geometric distribution: estimation and applications
• A review of copula models for economic time series
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• An introduction to copulas.
• Conditional copulas, association measures and their applications
• Dependence Calibration in Conditional Copulas: A Nonparametric Approach
• Efficient Estimation and Inferences for Varying-Coefficient Models
• Estimation of a copula when a covariate affects only marginal distributions
• Estimation of copula models with discrete margins via Bayesian data augmentation
• Goodness-of-fit tests for copulas: A review and a power study
• Modeling longitudinal data using a pair-copula decomposition of serial dependence
• Semiparametric estimation of conditional copulas

Cited in

(12)

• 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
• Estimation of multivariate conditional-tail-expectation using Kendall's process
• Non-parametric estimation of copula parameters: testing for time-varying correlation
• Weighted least-squares inference for multivariate copulas based on dependence coefficients
• Copulae: an overview and recent developments
• Dependence Calibration in Conditional Copulas: A Nonparametric Approach
• Non-parametric estimation of copula based mutual information
• Nonparametric maximum likelihood estimation for dependent truncation data based on copulas
• Nonparametric estimation of copula regression models with discrete outcomes
• Bayesian nonparametric inference for a multivariate copula function
• Bayesian nonparametric estimation of a copula

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