TY - JOUR
TI - On the large-sample behavior of two estimators of the conditional copula under serially dependent data
AU - Bouezmarni, Taoufik
AU - Camirand Lemyre, Félix
AU - Quessy, Jean-François
T2 - Metrika
AB - The conditional copula of a random pair (Y1, Y2) given the value taken by some covariate X ∈ R is the function Cx : [0, 1]2 → [0, 1] such that P(Y1 ≤ y1, Y2 ≤ y2|X = x) = Cx {P(Y1 ≤ y1|X = x), P(Y2 ≤ y2|X = x)}. In this note, the weak convergence of the two estimators of Cx proposed by Gijbels et al. (Comput Stat Data Anal 55(5):1919–1932, 2011) is established under α-mixing. It is shown that under appropriate conditions on the weight functions and on the mixing coefﬁcients, the limiting processes are the same as those obtained by Veraverbeke et al. (Scand J Stat 38(4):766–780, 2011) under the i.i.d. setting. The performance of these estimators in small sample sizes is investigated with simulations.
DA - 2019/10//
PY - 2019
DO - 10.1007/s00184-019-00711-y
DP - Crossref
VL - 82
IS - 7
SP - 823
EP - 841
LA - en
SN - 0026-1335, 1435-926X
UR - https://doi.org/10.1007/s00184-019-00711-y
KW - Journal Article
ER -