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  • This paper is concerned with studying the dependence structure between two random variables Y1 and Y2 conditionally upon a covariate X. The dependence structure is modelled via a copula function, which depends on the given value of the covariate in a general way. Gijbels et al. (2011) suggested two nonparametric estimators of the ''conditional'' copula and investigated their numerical performances. In this paper we establish the asymptotic properties of the proposed estimators as well as conditional association measures derived from them. Practical recommendations for their use are then discussed.
  • This paper is concerned with studying the dependence structure between two random variables Y1 and Y2 conditionally upon a covariate X. The dependence structure is modelled via a copula function, which depends on the given value of the covariate in a general way. Gijbels et al. (2011) suggested two nonparametric estimators of the ''conditional'' copula and investigated their numerical performances. In this paper we establish the asymptotic properties of the proposed estimators as well as conditional association measures derived from them. Practical recommendations for their use are then discussed. (en)
Title
  • Estimation of a Conditional Copula and Association Measures
  • Estimation of a Conditional Copula and Association Measures (en)
skos:prefLabel
  • Estimation of a Conditional Copula and Association Measures
  • Estimation of a Conditional Copula and Association Measures (en)
skos:notation
  • RIV/00216208:11320/11:10100435!RIV12-MSM-11320___
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  • Z(MSM0021620839)
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  • 4
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  • 197980
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  • RIV/00216208:11320/11:10100435
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  • Measures; Association; Copula; Conditional; Estimation (en)
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  • GB - Spojené království Velké Británie a Severního Irska
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  • [5CF1C508F67D]
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  • Scandinavian Journal of Statistics
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  • 38
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  • Gijbels, Irene
  • Omelka, Marek
  • Veraverbeke, Noel
http://linked.open...ain/vavai/riv/wos
  • 000297841000009
http://linked.open...n/vavai/riv/zamer
issn
  • 0303-6898
number of pages
http://bibframe.org/vocab/doi
  • 10.1111/j.1467-9469.2011.00744.x
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  • 11320
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