Bootstrapping the conditional copula
DOI10.1016/J.JSPI.2012.06.001zbMATH Open1428.62174OpenAlexW1972318492WikidataQ61719246 ScholiaQ61719246MaRDI QIDQ715580FDOQ715580
Authors: Marek Omelka, Noël Veraverbeke, Irène Gijbels 
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
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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 (13)
- About tests of the ``simplifying assumption for conditional copulas
- Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk
- Estimation of a copula when a covariate affects only marginal distributions
- On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
- On copula-based conditional quantile estimators
- Multiplier bootstrap methods for conditional distributions
- Ranking ranks: a ranking algorithm for bootstrapping from the empirical copula
- Estimation of a conditional copula and association measures
- Conditional copulas, association measures and their applications
- Estimation of a bivariate conditional copula when a variable is subject to random right censoring
- Conditional empirical copula processes and generalized measures of association
- Multivariate and functional covariates and conditional copulas
- Partial and average copulas and association measures
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