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On the weak convergence of the empirical conditional copula under a simplifying assumption

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  • Portier, Francois
  • Segers, Johan

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  • Portier, Francois & Segers, Johan, 2018. "On the weak convergence of the empirical conditional copula under a simplifying assumption," LIDAM Reprints ISBA 2018012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2018012
    Note: In : Journal of Multivariate Analysis, vol. 166, p. 160 - 181 (2018)
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    Cited by:

    1. Lopez, Olivier, 2019. "A censored copula model for micro-level claim reserving," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 1-14.
    2. Marek Omelka & Šárka Hudecová & Natalie Neumeyer, 2021. "Maximum pseudo‐likelihood estimation based on estimated residuals in copula semiparametric models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1433-1473, December.
    3. Jonas Meier, 2020. "Multivariate Distribution Regression," Diskussionsschriften dp2023, Universitaet Bern, Departement Volkswirtschaft.
    4. Bianchi, Pascal & Elgui, Kevin & Portier, François, 2023. "Conditional independence testing via weighted partial copulas," Journal of Multivariate Analysis, Elsevier, vol. 193(C).
    5. Neumeyer, Natalie & Omelka, Marek & Hudecová, Šárka, 2019. "A copula approach for dependence modeling in multivariate nonparametric time series," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 139-162.
    6. Gildas Mazo & François Portier, 2021. "Parametric versus nonparametric: The fitness coefficient," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1344-1383, December.
    7. Côté, Marie-Pier & Genest, Christian & Omelka, Marek, 2019. "Rank-based inference tools for copula regression, with property and casualty insurance applications," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 1-15.

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