Browsing Research Output by Subject "Conditional copula"
Now showing items 1-2 of 2
-
Nonparametric testing for no covariate effects in conditional copulas
(Taylor & Francis, 2017)In dependence modelling using conditional copulas, one often imposes the working assumption that the covariate influences the conditional copula solely through the marginal distributions. This so-called (pairwise) simplifying ... -
Score tests for covariate effects in conditional copulas
(Elsevier, 2017)We consider copula modeling of the dependence between two or more random variables in the presence of a multivariate covariate. The dependence parameter of the conditional copula possibly depends on the value of the covariate ...