Score tests for covariate effects in conditional copulas
From MaRDI portal
Publication:2011520
DOI10.1016/j.jmva.2017.05.001zbMath1368.62149OpenAlexW2612402835WikidataQ61719233 ScholiaQ61719233MaRDI QIDQ2011520
Michal Pešta, Marek Omelka, Irène Gijbels, Noël Veraverbeke
Publication date: 3 August 2017
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2017.05.001
Nonparametric hypothesis testing (62G10) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)
Related Items
A copula approach for dependence modeling in multivariate nonparametric time series, Study of partial and average conditional Kendall's tau, Omnibus test for covariate effects in conditional copula models, Testing the simplifying assumption in high-dimensional vine copulas, Testing for equality between conditional copulas given discretized conditioning events
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Simplified pair copula constructions -- limitations and extensions
- Statistical testing of covariate effects in conditional copula models
- Semiparametric estimation of conditional copulas
- Beyond simplified pair-copula constructions
- An introduction to copulas.
- Partial and average copulas and association measures
- Conditional copulas, association measures and their applications
- On the simplified pair-copula construction -- simply useful or too simplistic?
- Weak convergence and empirical processes. With applications to statistics
- Multivariate and functional covariates and conditional copulas
- Estimation of a Conditional Copula and Association Measures
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- Estimation of a Copula when a Covariate Affects only Marginal Distributions
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Nonparametric testing for no covariate effects in conditional copulas
- Functions of Order Statistics
- Semiparametric estimation in copula models
