Regression in a bivariate copula model
نویسندگان
چکیده
منابع مشابه
Estimating Bivariate Tail: a copula based approach
This paper deals with the problem of estimating the tail of a bivariate distribution function. To this end we develop a general extension of the POT (PeaksOver-Threshold) method, mainly based on a two-dimensional version of the Pickands-Balkema-de Haan Theorem. We introduce a new parameter that describes the nature of the tail dependence, and we provide a way to estimate it. We construct a two-...
متن کاملCorrelation in The Bivariate Poisson Regression Model
We consider a bivariate Poisson model that is based on the lognormal heterogeneity model. Two recent applications have used this model. We suggest that the correlation estimated in their model frameworks is an ambiguous measure of the correlation of the variables of interest, and may substantially overstate it. We conclude with a detailed application of the proposed method using the data employ...
متن کاملcient Estimation in the Bivariate Normal Copula
Consider semiparametric bivariate copula models in which the family of copula functions is parametrized by a Euclidean parameter of interest and in which the two unknown marginal distributions are the in nite dimensional nuisance parameters The e cient score for can be characterized in terms of the solutions of two coupled Sturm Liouville equations In case the family of copula functions corresp...
متن کاملOn the bivariate negative binomial regression model
In this paper, a new bivariate negative binomial regression (BNBR) model allowing any type of correlation is defined and studied. The marginal means of the bivariate model are functions of the explanatory variables. The parameters of the bivariate regression model are estimated by using the maximum likelihood method. Some test statistics including goodness-of-fit are discussed. Two numerical da...
متن کاملTest of symmetry for semiparametric bivariate copula
The copula function is a multivariate distribution whose marginal distributions are uniformly distributed on the interval [0,1], this function called copula that ties the joint and the margins together. One important class of copula models is that of semiparametric copula models. In this paper, a semiparametric copula and its properties are introduced also a test of symmetry for semiparametric ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Biometrika
سال: 2000
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/87.2.345