Single-index copulas
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Publication:1742729
DOI10.1016/j.jmva.2017.11.004zbMath1397.62179arXiv1512.07621OpenAlexW2962883861MaRDI QIDQ1742729
Olivier Lopez, Jean-David Fermanian
Publication date: 12 April 2018
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.07621
Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Related Items (5)
Time-Varying Mixture Copula Models with Copula Selection ⋮ On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior ⋮ A classification point-of-view about conditional Kendall's tau ⋮ Semi-parametric copula-based models under non-stationarity ⋮ Conditional empirical copula processes and generalized measures of association
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