Statistical testing of covariate effects in conditional copula models

DOI10.1214/13-EJS866zbMath1280.62052MaRDI QIDQ391831

Elif F. Acar, Radu V. Craiu, Fang Yao

Publication date: 13 January 2014

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1385995292

zbMATH Keywords

nonparametric inferencemodel diagnosticslocal likelihoodconstant copuladynamic copulas

Mathematics Subject Classification ID

Related Items (18)

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Cites Work

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• Estimation of a Conditional Copula and Association Measures
• Dependence Calibration in Conditional Copulas: A Nonparametric Approach
• Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests Under Nonstandard Conditions
• Generalised likelihood ratio tests for spectral density
• Nonparametric Inferences for Additive Models
• A Class of Statistics with Asymptotically Normal Distribution

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