Related papers: About tests of the "simplifying" assumption for co…
In copula modeling, the simplifying assumption has recently been the object of much interest. Although it is very useful to reduce the computational burden, it remains far from obvious whether it is actually satisfied in practice. We…
We study the weak convergence of conditional empirical copula processes, when the conditioning event has a nonzero probability. The validity of several bootstrap schemes is stated, including the exchangeable bootstrap. We define general -…
The paper considers the problem of establishing data support for the simplifying assumption (SA) in a bivariate conditional copula model. It is known that SA greatly simplifies the inference for a conditional copula model, but standard…
In conditional copula models, the copula parameter is deterministically linked to a covariate via the calibration function. The latter is of central interest for inference and is usually estimated nonparametrically. However, when a…
Several procedures have been recently proposed to test the simplifying assumption for conditional copulas. Instead of considering pointwise conditioning events, we study the constancy of the conditional dependence structure when some…
New nonparametric tests of copula exchangeability and radial symmetry are proposed. The novel aspect of the tests is a resampling procedure that exploits group invariance conditions associated with the relevant symmetry hypothesis. They may…
A key tool to carry out inference on the unknown copula when modeling a continuous multivariate distribution is a nonparametric estimator known as the empirical copula. One popular way of approximating its sampling distribution consists of…
We propose a bootstrap testing framework for a general class of hypothesis tests, which allows resampling under the null hypothesis as well as other forms of bootstrapping. We identify combinations of resampling schemes and bootstrap…
In this paper, we revisit the notion of partial copula, originally introduced to test conditional independence, highlighting its capability to represent the dependence between two random variables after removing their dependence with a…
We propose a score test for dependence predictability in conditional copulas that is robust to temporal instabilities. Our semiparametric procedure accommodates flexible dynamics in the marginal processes and remains agnostic about the…
We propose a new method to test conditional independence of two real random variables $Y$ and $Z$ conditionally on an arbitrary third random variable $X$. %with $F_{.|.}$ representing conditional distribution functions, The partial copula…
Bootstrapping and other resampling methods are increasingly appearing in the textbooks and curricula of courses that introduce undergraduate students to statistical methods. In order to teach the bootstrap well, students and instructors…
This paper is concerned with modeling the dependence structure of two (or more) time-series in the presence of a (possible multivariate) covariate which may include past values of the time series. We assume that the covariate influences…
This paper studies the problem of testing whether a system of linear equality and inequality constraints admits a solution when the coefficients of that system may have to be estimated. We show that a wide range of inferential questions in…
Semiparametric single-index assumptions are convenient and widely used dimen\-sion reduction approaches that represent a compromise between the parametric and fully nonparametric models for regressions or conditional laws. In a mean…
Thanks to their ability to capture complex dependence structures, copulas are frequently used to glue random variables into a joint model with arbitrary marginal distributions. More recently, they have been applied to solve statistical…
Several hypothesis testing methods have been proposed to validate the assumption of isotropy in spatial point patterns. A majority of these methods are characterised by an unknown distribution of the test statistic under the null hypothesis…
Tests of equality of copulas between two samples are introduced and studied using the empirical Bernstein copula process. Three statistics are proposed and their asymptotic properties are established. Besides, a subsampling Bernstein…
When the copula of the conditional distribution of two random variables given a covariate does not depend on the value of the covariate, two conflicting intuitions arise about the best possible rate of convergence attainable by…
Weak convergence of the empirical copula process is shown to hold under the assumption that the first-order partial derivatives of the copula exist and are continuous on certain subsets of the unit hypercube. The assumption is…