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    Bootstrapping the conditional copula

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    Date
    2013
    Author
    Omelka, Marek
    Veraverbeke, Noël
    Gijbels, Irène
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    Abstract
    This paper is concerned with inference about the dependence or association between two random variables conditionally upon the given value of a covariate. A way to describe such a conditional dependence is via a conditional copula function. Nonparametric estimators for a conditional copula then lead to nonparametric estimates of conditional association measures such as a conditional Kendall's tau. The limiting distributions of nonparametric conditional copula estimators are rather involved. In this paper we propose a bootstrap procedure for approximating these distributions and their characteristics, and establish its consistency. We apply the proposed bootstrap procedure for constructing confidence intervals for conditional association measures, such as a conditional Blomqvist beta and a conditional Kendall's tau. The performances of the proposed methods are investigated via a simulation study involving a variety of models, ranging from models in which the dependence (weak or strong) on the covariate is only through the copula and not through the marginals, to models in which this dependence appears in both the copula and the marginal distributions. As a conclusion we provide practical recommendations for constructing bootstrap-based confidence intervals for the discussed conditional association measures
    URI
    http://hdl.handle.net/10394/14445
    https://doi.org/10.1016/j.jspi.2012.06.001
    http://www.sciencedirect.com/science/article/pii/S0378375812002029
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