Nonparametric Estimation and Inference for the Copula Parameter in Conditional Copulas
The primary aim of this thesis is the elucidation of covariate effects on the dependence structure of random variables in bivariate or multivariate models. We develop a unified approach via a conditional copula model in which the copula is parametric and its parameter varies as the covariate. We pro...
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| Language: | en_ca |
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2010
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| Online Access: | http://hdl.handle.net/1807/25916 |