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Single-index copulas

Jean-David Fermanian and Olivier Lopez

Journal of Multivariate Analysis, 2018, vol. 165, issue C, 27-55

Abstract: We introduce so-called single-index copulas. They are semi-parametric conditional copulas whose parameter is an unknown link function of a univariate index only. We propose estimates of this link function and of the finite-dimensional unknown parameter. The asymptotic properties of the latter estimates are stated. Thanks to some properties of conditional Kendall’s tau, we illustrate our technical conditions with several usual copula families.

Keywords: Conditional copulas; Conditional Kendall’s tau; Kernel smoothing; Single-index models (search for similar items in EconPapers)
Date: 2018
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