Benutzer: Gast  Login
Titel:

Testing for equality between conditional copulas given discretized conditioning events

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Derumigny, A., Fermanian, J.-D. and Min, A.
Nicht-TUM Koautoren:
ja
Kooperation:
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
Zeitschriftentitel:
Canadian Journal of Statistics
Journal gelistet in FT50 Ranking:
nein
Jahr:
2022
Volltext / DOI:
doi:https://doi.org/10.1002/cjs.11742
WWW:
https://doi.org/10.1002/cjs.11742
Status:
Preprint / submitted
Urteilsbesprechung:
0
Key publication:
Ja
International:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
 BibTeX