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Empirical Projected Copula Process and Conditional Independence An Extended Version
Frattarolo, Lorenzo; Guegan, Dominique - HAL - 2013
Conditional dependence is expressed as a projection map in the trivariate copula space. The projected copula, its … sample counterpart and the related process are defined. The weak convergence of the projected copula process to a tight … centered Gaussian Process is obtained under weak assumptions on copula derivatives. …
Persistent link: https://www.econbiz.de/10011026052
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Semiparametric estimation of the dependence parameter of the error terms in multivariate regression
Kim, Gunky; Silvapulle, Mervyn J.; Silvapulle, Paramsothy - Department of Econometrics and Business Statistics, … - 2007
A semiparametric method is developed for estimating the dependence parameter and the joint distribution of the error term in the multivariate linear regression model. The nonparametric part of the method treats the marginal distributions of the error term as unknown, and estimates them by...
Persistent link: https://www.econbiz.de/10005125276
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Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models
Kim, Gunky; Silvapulle, Mervyn J.; Silvapulle, Paramsothy - Department of Econometrics and Business Statistics, … - 2007
copula. Our developments and proofs make use of, and build upon, recent elegant results of Koul and Ling (2006) and Koul …
Persistent link: https://www.econbiz.de/10005149050