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Please use this identifier to cite or link to this item: http://hdl.handle.net/1942/13000

Title: Estimation of a Conditional Copula and Association Measures
Authors: VERAVERBEKE, Noel
Gijbels, Irene
Issue Date: 2011
Citation: SCANDINAVIAN JOURNAL OF STATISTICS, 38 (4), p. 766-780
Abstract: This paper is concerned with studying the dependence structure between two random variables Y(1) and Y(2) 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. (Comput. Statist. Data Anal., 55, 2011, 1919) suggested two non-parametric 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.
Notes: [Gijbels, Irene] Katholieke Univ Leuven, Dept Math, B-3001 Heverlee, Belgium. [Gijbels, Irene] Katholieke Univ Leuven, Leuven Stat Res Ctr LStat, B-3001 Heverlee, Belgium. [Veraverbeke, Noel] Hasselt Univ, Ctr Stat, Diepenbeek, Belgium. [Omelka, Marek] Charles Univ Prague, Dept Probabil & Stat, Fac Math & Phys, Prague, Czech Republic. irene.gijbels@wis.kuleuven.be
URI: http://hdl.handle.net/1942/13000
DOI: 10.1111/j.1467-9469.2011.00744.x
ISI #: 000297841000009
ISSN: 0303-6898
Category: A1
Type: Journal Contribution
Validation: ecoom, 2013
Appears in Collections: Research publications

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