Bootstrapping the conditional copula

DOI10.1016/J.JSPI.2012.06.001MaRDI QIDQ715580zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

bootstrapsmoothingweak convergencerandom designempirical copula processasymptotic representationfixed design

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Measures of association (correlation, canonical correlation, etc.) (62H20)

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

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

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)