Web-based Supplementary Material for Dependence Calibration in Conditional Copulas: A Nonparametric Approach
نویسندگان
چکیده
The score and hessian functions The score vector ∇L(β, x) and hessian matrix ∇ 2 L(β, x) used in the Newton-Raphson
منابع مشابه
Dependence calibration in conditional copulas: a nonparametric approach.
The study of dependence between random variables is a mainstay in statistics. In many cases, the strength of dependence between two or more random variables varies according to the values of a measured covariate. We propose inference for this type of variation using a conditional copula model where the copula function belongs to a parametric copula family and the copula parameter varies with th...
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