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Title:

Testing for equality between conditional copulas given discretized conditioning events

Document type:
Zeitschriftenaufsatz
Author(s):
Derumigny, A., Fermanian, J.-D. and Min, A.
Non-TUM Co-author(s):
ja
Cooperation:
international
Abstract:
Several procedures have been recently proposed to test the simplifying assumption for conditional copulas. Instead of considering pointwise conditioning events, we study the constancy of the conditional dependence structure when some covariates belong to general borelian conditioning subsets. Several test statistics based on the equality of conditional Kendall's tau are introduced, and we derive their asymptotic distributions under the null. When such conditioning events are not fixed ex ante, w...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Canadian Journal of Statistics
Journal listet in FT50 ranking:
nein
Year:
2022
Fulltext / DOI:
doi:https://doi.org/10.1002/cjs.11742
WWW:
https://doi.org/10.1002/cjs.11742
Status:
Preprint / submitted
Judgement review:
0
Key publication:
Ja
International:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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