| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7546633 | Journal of Multivariate Analysis | 2018 | 34 Pages |
Abstract
We introduce so-called single-index copulas. They are semi-parametric conditional copulas whose parameter is an unknown link function of a univariate index only. We propose estimates of this link function and of the finite-dimensional unknown parameter. The asymptotic properties of the latter estimates are stated. Thanks to some properties of conditional Kendall's tau, we illustrate our technical conditions with several usual copula families.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Jean-David Fermanian, Olivier Lopez,