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Please use this identifier to cite or link to this item: http://hdl.handle.net/1942/13948

Title: Multivariate and functional covariates and conditional copulas
Authors: Gijbels, Irene
OMELKA, Marek
VERAVERBEKE, Noel
Issue Date: 2012
Publisher: INST MATHEMATICAL STATISTICS
Citation: ELECTRONIC JOURNAL OF STATISTICS, 6, p. 1273-1306
Abstract: In this paper the interest is to estimate the dependence between two variables conditionally upon a covariate, through copula modelling. In recent literature nonparametric estimators for conditional copula functions in case of a univariate covariate have been proposed. The aim of this paper is to nonparametrically estimate a conditional copula when the covariate takes on values in more complex spaces. We consider multivariate covariates and functional covariates. We establish weak convergence, and bias and variance properties of the proposed nonparametric estimators. We also briefly discuss nonparametric estimation of conditional association measures such as a conditional Kendalls tau. The case of functional covariates is of particular interest and challenge, both from theoretical as well as practical point of view. For this setting we provide an illustration with a real data example in which the covariates are spectral curves. A simulation study investigating the finite-sample performances of the discussed estimators is provided.
Notes: [Gijbels, Irene] Katholieke Univ Leuven, Dept Math, Louvain, Belgium. [Gijbels, Irene] Katholieke Univ Leuven, Leuven Stat Res Ctr LStat, Louvain, Belgium. [Omelka, Marek] Charles Univ Prague, Fac Math & Phys, Dept Probabil & Stat, Prague, Czech Republic. [Veraverbeke, Noel] Hasselt Univ, Ctr Stat, Hasselt, Belgium. [Veraverbeke, Noel] North West Univ, Unit BMI, Potchefstroom, South Africa. Irene.Gijbels@wis.kuleuven.be; omelka@karlin.mff.cuni.cz; noel.veraverbeke@uhasselt.be
URI: http://hdl.handle.net/1942/13948
DOI: 10.1214/12-EJS712
ISI #: 000306920500001
ISSN: 1935-7524
Category: A1
Type: Journal Contribution
Validation: ecoom, 2013
Appears in Collections: Research publications

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