Non and semiparametric methods based on copula functions

基于 copula 函数的非参数和半参数方法

• 批准号: 402521-2013
• 负责人: Bouezmarni, Taoufik
• 金额: $ 1.17万
• 依托单位: Université de Sherbrooke
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2017
• 资助国家: 加拿大
• 起止时间: 2017-01-01 至 2018-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=636024
• 关键词: Non; semiparametric; methods; based; copula

Title: Non and semiparametric methods based on copula functionsWe propose the development of new statistical methods based on copula functions for complete and right censored data. For censored data, we propose and investigate new, non and semiparametric, methods of estimation of the conditional dependence and of the regression function using copulas. Also, based on copula functions, we seek to design new tests of independence and conditional independence. A test of causality, which a very popular in economics and finance, is derived. Novel goodness-of-fit tests for unconditional and conditional copulas are explored.

职务名称：基于Copula函数的非参数和半参数方法我们提出了基于Copula函数的完全和右删失数据的新统计方法。对于删失数据，我们提出和研究新的，非和半参数，估计的条件依赖和回归函数使用Copula的方法。此外，基于Copula函数，我们试图设计新的独立性和条件独立性的测试。推导了经济学和金融学中流行的因果关系检验方法.新的拟合优度测试的无条件和条件copula的探索。