About: Conditional copulas, association measures and their applications

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	One way to model a dependence structure is through the copula function which is a mean to capture the dependence structure in the joint distribution of variables. Association measures such as Kendall's tau or Spearman's rho can be expressed as functionals of the copula. The dependence structure between two variables can be highly influenced by a covariate, and it is of real interest to know how this dependence structure changes with the value taken by the covariate. This motivates the need for introducing conditional copulas, and the associated conditional Kendall's tau and Spearman's rho association measures. After the introduction and motivation of these concepts, two nonparametric estimators for a conditional copula are proposed and discussed. Then nonparametric estimates for the conditional association measures are derived. A key issue is that these measures are now looked at as functions in the covariate. One way to model a dependence structure is through the copula function which is a mean to capture the dependence structure in the joint distribution of variables. Association measures such as Kendall's tau or Spearman's rho can be expressed as functionals of the copula. The dependence structure between two variables can be highly influenced by a covariate, and it is of real interest to know how this dependence structure changes with the value taken by the covariate. This motivates the need for introducing conditional copulas, and the associated conditional Kendall's tau and Spearman's rho association measures. After the introduction and motivation of these concepts, two nonparametric estimators for a conditional copula are proposed and discussed. Then nonparametric estimates for the conditional association measures are derived. A key issue is that these measures are now looked at as functions in the covariate. (en)
Title	Conditional copulas, association measures and their applications Conditional copulas, association measures and their applications (en)
skos:prefLabel	Conditional copulas, association measures and their applications Conditional copulas, association measures and their applications (en)
skos:notation	RIV/00216208:11320/11:10100436!RIV12-MSM-11320___
http://linked.open...avai/predkladatel	Matematicko-fyzikální fakulta
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(LC06024)
http://linked.open...iv/cisloPeriodika	5
http://linked.open...vai/riv/dodaniDat	2012
http://linked.open...aciTvurceVysledku	Omelka, Marek
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Matematicko-fyzikální fakulta
http://linked.open...dnocenehoVysledku	191639
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/11:10100436
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	applications; their; measures; association; copulas; Conditional (en)
http://linked.open.../riv/klicoveSlovo	Conditional applications association copulas measures their
http://linked.open...odStatuVydavatele	NL - Nizozemsko
http://linked.open...ontrolniKodProRIV	[0092A99804C3]
http://linked.open...i/riv/nazevZdroje	Computational Statistics and Data Analysis
http://linked.open...in/vavai/riv/obor	BA
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Jaroslav Hájek Center for Theoretical and Applied Statistics
http://linked.open...UplatneniVysledku	2011
http://linked.open...v/svazekPeriodika	55
http://linked.open...iv/tvurceVysledku	Gijbels, Irene Omelka, Marek Veraverbeke, Noel
http://linked.open...ain/vavai/riv/wos	000287952900003
issn	0167-9473
number of pages	13 (xsd:int)
http://bibframe.org/vocab/doi	10.1016/j.csda.2010.11.010
http://localhost/t...ganizacniJednotka	11320
is http://linked.open...avai/riv/vysledek of	Conditional copulas, association measures and their applications Conditional copulas, association measures and their applications

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