Testing for equality between conditional copulas given discretized conditioning events-Reference-Cited by-同舟云学术

Testing for equality between conditional copulas given discretized conditioning events

Published:2022-11-15 Issue: Volume: Page:
ISSN:0319-5724
Container-title:Canadian Journal of Statistics
language:en
Short-container-title:Can J Statistics

Author:

Derumigny Alexis¹^ORCID,Fermanian Jean‐David²,Min Aleksey³

Affiliation:

1. Department of Applied Mathematics Delft University of Technology Mekelweg 4 2628 CD Delft Netherlands

2. École Nationale de la Statistique et de l'Administration Économique (ENSAE) & Centre de Recherche en Économie et Statistique (CREST) 5 avenue Le Chatelier 91120 Palaiseau Cedex France

3. Department of Mathematics Technical University of Munich Boltzmannstr. 3 85748 Garching Germany

Funder

Labex Ecodec

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/cjs.11742

Reference31 articles.

1. Statistical testing of covariate effects in conditional copula models

2. K-sample problem using strong approximations of empirical copula processes

3. Detecting breaks in the dependence of multivariate extreme-value distributions

4. Analyzing Dependent Data with Vine Copulas

5. Derumigny A.(2022).CondCopulas: Estimation and Inference for Conditional Copulas Models R package version 0.1.1. Available at:https://cran.r‐project.org/package=CondCopulas

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1. CondCopulas: Estimation and Inference for Conditional Copula Models;CRAN: Contributed Packages;2022-03-30