伯恩斯坦条件共线估计器

IF 1.2 3区数学 Q2 STATISTICS & PROBABILITY

Statistical Papers Pub Date : 2024-05-31 DOI:10.1007/s00362-024-01573-x

Noël Veraverbeke

{"title":"伯恩斯坦条件共线估计器","authors":"Noël Veraverbeke","doi":"10.1007/s00362-024-01573-x","DOIUrl":null,"url":null,"abstract":"<p>The use of Bernstein polynomials in smooth nonparametric estimation of copulas has been well established in recent years. Their good properties in terms of bias and variance are well known. In this note we generalize some of the asymptotic theory to conditional copulas, that is where the dependence structure between the variables changes with a value of a random covariate. We obtain asymptotic representations and asymptotic normality for a conditional copula.</p>","PeriodicalId":51166,"journal":{"name":"Statistical Papers","volume":"56 1","pages":""},"PeriodicalIF":1.2000,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Bernstein estimator for conditional copulas\",\"authors\":\"Noël Veraverbeke\",\"doi\":\"10.1007/s00362-024-01573-x\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>The use of Bernstein polynomials in smooth nonparametric estimation of copulas has been well established in recent years. Their good properties in terms of bias and variance are well known. In this note we generalize some of the asymptotic theory to conditional copulas, that is where the dependence structure between the variables changes with a value of a random covariate. We obtain asymptotic representations and asymptotic normality for a conditional copula.</p>\",\"PeriodicalId\":51166,\"journal\":{\"name\":\"Statistical Papers\",\"volume\":\"56 1\",\"pages\":\"\"},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2024-05-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Statistical Papers\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1007/s00362-024-01573-x\",\"RegionNum\":3,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Statistical Papers","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1007/s00362-024-01573-x","RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}

引用次数: 0

摘要

近年来，伯恩斯坦多项式在平滑非参数共线估计中的应用已得到广泛认可。它们在偏差和方差方面的良好特性是众所周知的。在本论文中，我们将一些渐近理论推广到条件协方差，即变量之间的依赖结构随随机协变量值的变化而变化。我们将得到条件共轭的渐近表示和渐近正态性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Bernstein estimator for conditional copulas

The use of Bernstein polynomials in smooth nonparametric estimation of copulas has been well established in recent years. Their good properties in terms of bias and variance are well known. In this note we generalize some of the asymptotic theory to conditional copulas, that is where the dependence structure between the variables changes with a value of a random covariate. We obtain asymptotic representations and asymptotic normality for a conditional copula.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Statistical Papers 数学-统计学与概率论

CiteScore

2.80

自引率

7.70%

发文量

审稿时长

6-12 weeks

期刊介绍： The journal Statistical Papers addresses itself to all persons and organizations that have to deal with statistical methods in their own field of work. It attempts to provide a forum for the presentation and critical assessment of statistical methods, in particular for the discussion of their methodological foundations as well as their potential applications. Methods that have broad applications will be preferred. However, special attention is given to those statistical methods which are relevant to the economic and social sciences. In addition to original research papers, readers will find survey articles, short notes, reports on statistical software, problem section, and book reviews.