Estimation and inference in factor copula models with exogenous covariates

Copula-Based Regression Estimation and Inference

In this paper we investigate a new approach of estimating a regression function based on copulas. The main idea behind this approach is to write the regression function in terms of a copula and marginal distributions. Once the copula and the marginal distributions are estimated we use the plug-in method to construct the new estimator. Because various methods are available in the literature for ...

Estimation and Inference in Generalized Additive Coefficient Models for Nonlinear Interactions with High-Dimensional Covariates.

In the low-dimensional case, the generalized additive coefficient model (GACM) proposed by Xue and Yang [Statist. Sinica16 (2006) 1423-1446] has been demonstrated to be a powerful tool for studying nonlinear interaction effects of variables. In this paper, we propose estimation and inference procedures for the GACM when the dimension of the variables is high. Specifically, we propose a groupwis...

Penalized Pseudolikelihood Inference in Spatial Interaction Models with Covariates

Given spatially located observed random variables (x; z) = f(x i ; z i)g i , we propose a new method for nonparametric estimation of the potential functions of a Markov Random Field p(xjz), based on a roughness penalty approach. The new estimator maximises the penalized log-pseudolikelihood function and is a natural cubic spline. The calculations involved do not rely on Monte Carlo simulation. ...

Inference in nonparametric current status models with covariates

Abstract: In interval censored models with current status observations, the variables are indicators of the presence of individuals on observation intervals and covariates. When several individuals share the same observation interval, a simple procedure provides new estimators for the distribution of the observation times and their intensity, in a closed form. They are n1/2consistent for piece-...

Variational inference with copula augmentation