Single-index copulae
Statistics Theory
2017-07-06 v3 Methodology
Statistics Theory
Abstract
We introduce so-called "single-index copulae". They are semi-parametric conditional copulae whose parameter is an unknown "link" function of a univariate index only. We provide 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.
Cite
@article{arxiv.1512.07621,
title = {Single-index copulae},
author = {Jean-David Fermanian and Olivier Lopez},
journal= {arXiv preprint arXiv:1512.07621},
year = {2017}
}
Comments
Revised version: correction of Assumption 3 and some minor induced modifications