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: 2018
• 资助国家: 加拿大
• 起止时间: 2018-01-01 至 2019-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=645945
• 关键词: Non; semiparametric; methods; based; copula

Title: Non and semiparametric methods based on copula functions****We 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 函数的非参数和半参数方法****我们建议开发基于 copula 函数的新统计方法，用于完整且正确的删失数据。对于审查数据，我们提出并研究了使用联结函数估计条件依赖性和回归函数的新的非半参数方法。此外，基于 copula 函数，我们寻求设计新的独立性和条件独立性测试。经济学和金融学中非常流行的因果关系检验由此产生。探索了无条件和条件联结的新颖拟合优度检验。