Single-index copulas

JOURNAL OF MULTIVARIATE ANALYSIS

卷:165

Article

Fermanian, Jean-David¹  Lopez, Olivier² 

[1] CREST ENSAE, 5 Ave Henry le Chatelier, F-91764 Palaiseau, France

[2] Univ Pierre & Marie Curie Paris 6, 4 Pl jussieu, F-75005 Paris, France

关键词: Conditional copulas;    Conditional Kendall's tau;    Kernel smoothing;    Single-index models;   

DOI  :  10.1016/j.jmva.2017.11.004

来源: Elsevier

【 摘 要 】

We introduce so-called single-index copulas. They are semi-parametric conditional copulas whose parameter is an unknown link function of a univariate index only. We propose estimates of this link function and of the finite-dimensional unknown parameter. The asymptotic properties of the latter estimates are stated. Thanks to some properties of conditional Kendall's tau, we illustrate our technical conditions with several usual copula families. (C) 2017 Elsevier Inc. All rights reserved.

【 授权许可】

Free