On the large-sample behavior of two estimators of the conditional copula under serially dependent data
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DOI: 10.1007/s00184-019-00711-y
Abstract: The conditional copula of a random pair $$(Y_1,Y_2)$$(Y1,Y2) given the value taken by some covariate $$X \in {\mathbb {R}}$$X∈R is the function $$C_x:[0,1]^2 \rightarrow [0,1]$$Cx:[0,1]2→[0,1] such that $${\mathbb {P}}(Y_1 \le y_1, Y_2 \le y_2 |… read more here.
Keywords: large sample; sample behavior; mathbb; conditional copula ... See more keywords
Estimation of a bivariate conditional copula when a variable is subject to random right censoring
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DOI: 10.1214/19-ejs1645
Abstract: Abstract: This paper concerns the dependence structure of a random pair (Y1, Y2) conditionally upon a covariate X in the case where the variable Y1 is subject to random right censoring. The dependence structure is… read more here.
Keywords: variable subject; subject random; right censoring; random ... See more keywords