Nonparametric testing for no covariate effects in conditional copulas
DOI10.1080/02331888.2016.1258070zbMATH Open1369.62112OpenAlexW2552383185WikidataQ61719234 ScholiaQ61719234MaRDI QIDQ5280374FDOQ5280374
Authors: Irène Gijbels, Marek Omelka, Noël Veraverbeke 
Publication date: 20 July 2017
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://lirias.kuleuven.be/handle/123456789/564788
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covariate effectconditional copulaKendall's taunonparametric testingmarginal distributionpartial copulapairwise simplifying assumption
Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Stochastic integral equations (60H20)
Cites Work
- Approximation Theorems of Mathematical Statistics
- Tests of independence among continuous random vectors based on Cramér-von Mises functionals of the empirical copula process
- Vines -- a new graphical model for dependent random variables.
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- Estimation of a copula when a covariate affects only marginal distributions
- Simplified pair copula constructions -- limitations and extensions
- Statistical testing of covariate effects in conditional copula models
- Beyond simplified pair-copula constructions
- U-processes: Rates of convergence
- Partial and average copulas and association measures
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Archimedean copula estimation using Bayesian splines smoothing techniques
- Estimation of a conditional copula and association measures
- Conditional copulas, association measures and their applications
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- Semiparametric estimation of conditional copulas
- Multivariate and functional covariates and conditional copulas
Cited In (13)
- About tests of the ``simplifying assumption for conditional copulas
- Score tests for covariate effects in conditional copulas
- How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
- Study of partial and average conditional Kendall's tau
- Omnibus test for covariate effects in conditional copula models
- Correlation-oriented complex system structural risk assessment using copula and belief rule base
- Testing the simplifying assumption in high-dimensional vine copulas
- Nonparametric Tests for the Effect of a Treatment on the Conditional Variance
- Statistical testing of covariate effects in conditional copula models
- Non-parametric estimation of copula parameters: testing for time-varying correlation
- Testing for equality between conditional copulas given discretized conditioning events
- Conditional empirical copula processes and generalized measures of association
- Testing conditional multivariate rank correlations: the effect of institutional quality on factors influencing competitiveness
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