Bootstrapping the conditional copula
DOI10.1016/J.JSPI.2012.06.001zbMATH Open1428.62174OpenAlexW1972318492WikidataQ61719246 ScholiaQ61719246MaRDI QIDQ715580FDOQ715580
Irène Gijbels, Marek Omelka, Noël Veraverbeke
Publication date: 30 October 2012
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2012.06.001
Recommendations
- Bootstrap estimation of conditional distributions
- Smooth bootstrapping of copula functionals
- Copula model evaluation based on parametric bootstrap
- A note on bootstrap approximations for the empirical copula process
- Conditionalization of copula-based models
- Bootstrapping L2-type statistics in copula density testing
- Parametric estimation of conditional copulas
- On the strong approximation of bootstrapped empirical copula processes with applications
- Semiparametric estimation of conditional copulas
bootstrapsmoothingweak convergencerandom designempirical copula processasymptotic representationfixed design
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Measures of association (correlation, canonical correlation, etc.) (62H20)
Cited In (7)
- About tests of the ``simplifying assumption for conditional copulas
- Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk
- Multiplier bootstrap methods for conditional distributions
- Estimation of a Copula when a Covariate Affects only Marginal Distributions
- Estimation of a bivariate conditional copula when a variable is subject to random right censoring
- Conditional empirical copula processes and generalized measures of association
- Partial and average copulas and association measures
This page was built for publication: Bootstrapping the conditional copula
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q715580)
