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
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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
6 Link opens in a new tab Citations (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
7 Link opens in a new tab 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
13 Link opens in a new tab Citations (Scopus)
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