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Dependence calibration in conditional copulas: a nonparametric approach.
| Content Provider | Semantic Scholar |
|---|---|
| Author | Acar, Elif F. Craiu, Radu V. Yao, Fang Lian |
| Copyright Year | 2011 |
| Abstract | The study of dependence between random variables is a mainstay in statistics. In many cases, the strength of dependence between two or more random variables varies according to the values of a measured covariate. We propose inference for this type of variation using a conditional copula model where the copula function belongs to a parametric copula family and the copula parameter varies with the covariate. In order to estimate the functional relationship between the copula parameter and the covariate, we propose a nonparametric approach based on local likelihood. Of importance is also the choice of the copula family that best represents a given set of data. The proposed framework naturally leads to a novel copula selection method based on cross-validated prediction errors. We derive the asymptotic bias and variance of the resulting local polynomial estimator, and outline how to construct pointwise confidence intervals. The finite-sample performance of our method is investigated using simulation studies and is illustrated using a subset of the Matched Multiple Birth data. |
| Starting Page | 294 |
| Ending Page | 295 |
| Page Count | 2 |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://fisher.utstat.toronto.edu/craiu/Papers/elif1-pub.pdf |
| Alternate Webpage(s) | http://www.utstat.toronto.edu/craiu/Papers/elif1-pub.pdf |
| Alternate Webpage(s) | http://www.utstat.toronto.edu/craiu/Papers/elif_supp.pdf |
| Alternate Webpage(s) | http://utstat.utoronto.ca/fyao/2011-biom.pdf |
| Alternate Webpage(s) | http://fisher.utstat.toronto.edu/craiu/Papers/R_DCCC_2.pdf |
| Alternate Webpage(s) | http://www.utstat.toronto.edu/craiu/Papers/R_DCCC_2.pdf |
| Alternate Webpage(s) | http://fisher.utstat.toronto.edu/craiu/Papers/elif_supp.pdf |
| PubMed reference number | 20731648v1 |
| Alternate Webpage(s) | https://doi.org/10.1111/j.1541-0420.2010.01472.x |
| DOI | 10.1111/j.1541-0420.2010.01472.x |
| Journal | Biometrics |
| Volume Number | 67 |
| Issue Number | 2 |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Calibration Confidence Intervals Dependence Inference Multiple Personality Disorder Population Parameter Sample Variance Subgroup |
| Content Type | Text |
| Resource Type | Article |
