Conditional copulas, association measures and their applications

Computational Statistics and Data Analysis

Volumn 55, Issue 5, 2011, Pages 1919-1932

  Gijbels, Irène ^a   Veraverbeke, Noël ^b   Omelka, Marel ^c  

^a Katholieke Universiteit Leuven   (Belgium)

^b HASSELT UNIVERSITY   (Belgium)

^c CHARLES UNIVERSITY   (Czech Republic)

Author keywords

Asymptotic bias; Asymptotic variance; Conditional copula; Conditional Kendall's tau; Conditional Spearman's rho; Empirical estimation; Global and local bandwidths; Local dependencies; Smoothing

Indexed keywords

ASYMPTOTIC BIAS; ASYMPTOTIC VARIANCE; CONDITIONAL COPULA; EMPIRICAL ESTIMATION; GLOBAL AND LOCAL BANDWIDTHS; KENDALL'S TAU; LOCAL DEPENDENCIES; SMOOTHING; SPEARMAN'S RHO;

ESTIMATION; REAL VARIABLES;

ASYMPTOTIC ANALYSIS;

EID: 79251597122     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2010.11.010     Document Type: Article

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