A heteroscedasticity diagnostic of a regression analysis with copula dependent random variables

DOI10.1214/22-BJPS532zbMath1503.62056OpenAlexW4229058396MaRDI QIDQ2673841

Radko Mesiar, Ayyub Sheikhi, Fereshteh Arad

Publication date: 13 June 2022

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/22-bjps532

zbMATH Keywords

heteroscedasticityregressionGaussian copulat-copula

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Characterization and structure theory for multivariate probability distributions; copulas (62H05) General nonlinear regression (62J02)

Uses Software

• gcmr
• VineCopula

Cites Work

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• Efficient Bayesian inference for Gaussian copula regression models
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• Predictive assessment of copula models
• Random noise and perturbation of copulas
• Copula-Based Regression Estimation and Inference
• Copula-based measurement error models
• A new look at the statistical model identification

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