Flexible modeling based on copulas in nonparametric median regression
نویسندگان
چکیده
منابع مشابه
Flexible modeling based on copulas in nonparametric median regression
Consider the model Y = m(X)+ ε, where m(·) = med(Y |·) is unknown but smooth. It is often assumed that ε and X are independent. However, in practice this assumption is in many cases violated. In this paper we propose to model the dependence between ε and X by means of a copula model, i.e. (ε,X) ∼ Cθ(Fε(·), FX(·)), where Cθ is a copula function depending on an unknown parameter θ, and Fε and FX ...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2009
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2008.11.009