Research output per year
Research output per year
Description
Provides functions for the estimation of conditional copulas models, various estimators of conditional Kendall's tau (proposed in Derumigny and Fermanian (2019a, 2019b, 2020) <doi:10.1515/demo-2019-0016>, <doi:10.1016/j.csda.2019.01.013>, <doi:10.1016/j.jmva.2020.104610>), and test procedures for the simplifying assumption (proposed in Derumigny and Fermanian (2017) <doi:10.1515/demo-2017-0011> and Derumigny, Fermanian and Min (2020) <arXiv:2008.09498>).
| Date made available | 26 Sept 2022 |
|---|---|
| Publisher | TU Delft - 4TU.ResearchData |
Research output
- 4 Article
-
On Kendall's regression
Derumigny, A. & Fermanian, J. D., Jul 2020, In: Journal of Multivariate Analysis. 178, 104610.Research output: Contribution to journal › Article › Scientific › peer-review
1 Citation (Scopus) -
A classification point-of-view about conditional Kendall's tau
Derumigny, A. & Fermanian, J. D., Jul 2019, In: Computational Statistics and Data Analysis. 135, p. 70-94 25 p.Research output: Contribution to journal › Article › Scientific › peer-review
5 Citations (Scopus) -
On kernel-based estimation of conditional Kendall's tau: Finite-distance bounds and asymptotic behavior
Derumigny, A. & Fermanian, J. D., 2019, In: Dependence Modeling. 7, 1, p. 292-321 30 p.Research output: Contribution to journal › Article › Scientific › peer-review
7 Citations (Scopus)