Non and semiparametric methods based on copula functions

基于 copula 函数的非参数和半参数方法

• 批准号: 402521-2013
• 负责人: Bouezmarni, Taoufik
• 金额: $ 1.17万
• 依托单位: Université de Sherbrooke
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2017
• 资助国家: 加拿大
• 起止时间: 2017-01-01 至 2018-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=636024
• 关键词: Non; semiparametric; methods; based; copula

Title: Non and semiparametric methods based on copula functionsWe propose the development of new statistical methods based on copula functions for complete and right censored data. For censored data, we propose and investigate new, non and semiparametric, methods of estimation of the conditional dependence and of the regression function using copulas. Also, based on copula functions, we seek to design new tests of independence and conditional independence. A test of causality, which a very popular in economics and finance, is derived. Novel goodness-of-fit tests for unconditional and conditional copulas are explored.

标题：基于copula函数的非半参数方法，我们提出了基于copula函数的新统计方法的开发，以进行完整和正确的审查数据。对于审查数据，我们提出并研究了使用COPULAS的新，非和半参数，条件依赖性的估计方法以及回归函数的方法。同样，基于Copula功能，我们试图设计独立性和有条件独立性的新测试。在经济和金融方面非常流行的因果关系的考验得出了。探索了针对无条件和有条件的copulas的新型合身测试。