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Dokumenttyp:
Masterarbeit 
Autor(en):
Alexej Brauer 
Titel:
Kernel Estimation of Conditional Copula Densities 
Abstract:
In many cases, the dependence structure between random variables varies according to the values of measured covariates. A natural approach studying these type of models is the usage of conditional copulas. Here we provide an introduction to this concept and propose a novel fully nonparametric method for the estimation of conditional copula densities. Our procedure is based on transformation kernels combined with local linear regression. The asymptotic properties are studied and a bandwidth selec...    »
 
Stichworte:
Asymptotic, conditional, copula, density, kernel, nonparametric 
Betreuer:
Claudia Czado, Thomas Nagler 
Jahr:
2016 
Quartal:
4. Quartal 
Jahr / Monat:
2016-12 
Monat:
Dec 
Sprache:
en 
Hochschule / Universität:
Technische Universität München 
Fakultät:
Fakultät für Mathematik 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik