Nonparametric kernel estimation of conditional copula density
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Publication:6580284
DOI10.1016/J.SPL.2024.110154zbMATH Open1541.62123MaRDI QIDQ6580284
Toihir Soulaimana Djaloud, Cheikh Tidiane Seck
Publication date: 29 July 2024
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
asymptotic normalitykernel estimationplug-in estimatorquadratic mean convergenceconditional copula density
Density estimation (62G07) Estimation in multivariate analysis (62H12) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Cites Work
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- Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
- Semiparametric estimation of conditional copulas
- Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing
- Conditional copulas, association measures and their applications
- Estimation of a conditional copula and association measures
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- Approximation Theorems of Mathematical Statistics
- An Estimate Concerning the Kolmogroff Limit Distribution
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