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Activity Number: 518
Type: Invited
Date/Time: Wednesday, August 12, 2015 : 10:30 AM to 12:20 PM
Sponsor: Journal of Nonparametric Statistics
Abstract #314455
Title: Nonparametric Conditional Copula Estimation
Author(s): Marek Omelka and Irene Gijbels* and Noel Veraverbeke
Companies: Charles University in Prague and KU Leuven and Hasselt University
Keywords: conditional copula ; correlation coefficients ; nonparametric estimation ; smoothing ; weak convergence
Abstract:

Suppose we are interested in characterizing the dependence of two (or more) random variables in the presence of a covariate. In this talk we review and discuss various nonparametric measures of dependence and how they can be expressed with the help of copulas. We focus mainly on conditional copulas and corresponding conditional measures of associations, which enable an analyst to describe how the dependence structure of the variables of interest changes with the value taken by the covariate. We present a nonparametric estimator of a conditional copula and its asymptotic properties. The concepts of conditional and partial (nonparametric) correlation coefficients will be compared.

Authors who are presenting talks have a * after their name.

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