Search Results - subject:"Copula density"

Accounting for endogeneity in regression models using copulas : a step-by-step guide for empirical studies

Papadopoulos, Alecos - In: Journal of econometric methods 11 (2022) 1, pp. 127-154

Persistent link: https://www.econbiz.de/10013161672

Transformation-kernel estimation of copula densities

Wen, Kuangyu; Wu, Ximing - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 148-164

Persistent link: https://www.econbiz.de/10012179535

Probit Transformation for Nonparametric Kernel Estimation of the Copula Density

Paindaveine, Davy; Geenens, Gery; Charpentier, Arthur - European Centre for Advanced Research in Economics and … - 2014

-type copula density estimatoris proposed. It is based on the idea of transforming the uniform marginals of the copula density …Copula modelling has become ubiquitous in modern statistics. Here, the problem of nonparametricallyestimating a copula … density is addressed. Arguably the most popular nonparametric density estimator,the kernel estimator is not suitable for the …

Persistent link: https://www.econbiz.de/10011031501

Probit transformation for nonparametric kernel estimation of the copula density

Geenens, Gery; Charpentier, Arthur; Paindaveine, Davy - 2014

Persistent link: https://www.econbiz.de/10010376931

Nonparametric estimation and inference for Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; Ghouch, Anouar El - Departamento de Economía, Universidad Carlos III de Madrid - 2012

We propose a nonparametric estimator and a nonparametric test for Granger causality measures that quantify linear and nonlinear Granger causality in distribution between random variables. We first show how to write the Granger causality measures in terms of copula densities. We suggest a...

Persistent link: https://www.econbiz.de/10010547882

Nonparametric estimation and inference for Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; Ghouch, Anouar El - Departamento de Economía, Universidad Carlos III de Madrid - 2012

Persistent link: https://www.econbiz.de/10010551422

Semi-parametric estimation of income mobility with D‑vines using bivariate penalised splines

Schellhase, Christian; Kuhlenkasper, Torben - In: Wirtschafts- und sozialstatistisches Archiv : ASTA ; … 11 (2017) 2, pp. 107-134

Persistent link: https://www.econbiz.de/10011889820

Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of Econometrics 180 (2014) 2, pp. 251-264

We propose a nonparametric estimation and inference for conditional density based Granger causality measures that quantify linear and nonlinear Granger causalities. We first show how to write the causality measures in terms of copula densities. Thereafter, we suggest consistent estimators for...

Persistent link: https://www.econbiz.de/10010776917

A note on the asymptotic behavior of the Bernstein estimator of the copula density

Janssen, Paul; Swanepoel, Jan; Veraverbeke, Noël - In: Journal of Multivariate Analysis 124 (2014) C, pp. 480-487

of this note is to study the asymptotic distributional behavior of the Bernstein estimator of a copula density. Compared …

Persistent link: https://www.econbiz.de/10011042028

Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264

Persistent link: https://www.econbiz.de/10010433362