Estimation of a Copula when a Covariate Affects only Marginal Distributions
Estimation of a Copula when a Covariate Affects only Marginal Distributions
Abstract This paper is concerned with studying the dependence structure between two random variables Y 1 and Y 2 in the presence of a covariate X , which affects both marginal distributions but not the dependence structure. This is reflected in the property that the conditional copula of Y 1 …