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Bianchi P, Elgui K, Portier F. Conditional independence testing via weighted partial copulas. J MULTIVARIATE ANAL 2023. [DOI: 10.1016/j.jmva.2022.105120] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/06/2022]
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2
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Hofert M, Prasad A, Zhu M. RafterNet: Probabilistic Predictions in Multi-Response Regression. AM STAT 2022. [DOI: 10.1080/00031305.2022.2141857] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/01/2022]
Affiliation(s)
- Marius Hofert
- Department of Statistics and Actuarial Science, University of Waterloo, 200 University Avenue West, Waterloo, ON, N2L 3G1
| | - Avinash Prasad
- Department of Statistics and Actuarial Science, University of Waterloo, 200 University Avenue West, Waterloo, ON, N2L 3G1
| | - Mu Zhu
- Department of Statistics and Actuarial Science, University of Waterloo, 200 University Avenue West, Waterloo, ON, N2L 3G1
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3
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Zhao Y, Gijbels I, Van Keilegom I. Parametric copula adjusted for non- and semiparametric regression. Ann Stat 2022. [DOI: 10.1214/21-aos2126] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Yue Zhao
- Research Centre for Operations Research and Statistics (ORSTAT), KU Leuven
| | - Irène Gijbels
- Department of Mathematics and Leuven Statistics Research Center (LStat), KU Leuven
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Derumigny A, Fermanian JD. Conditional empirical copula processes and generalized measures of association. Electron J Stat 2022. [DOI: 10.1214/22-ejs2075] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Alexis Derumigny
- Department of Applied Mathematics, Delft University of Technology, Mekelweg 4, 2628 CD, Delft, Netherlands
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6
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Gijbels I, Omelka M, Veraverbeke N. Omnibus test for covariate effects in conditional copula models. J MULTIVARIATE ANAL 2021. [DOI: 10.1016/j.jmva.2021.104804] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/15/2022]
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7
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Mroz T, Fuchs S, Trutschnig W. How simplifying and flexible is the simplifying assumption in pair-copula constructions – analytic answers in dimension three and a glimpse beyond. Electron J Stat 2021. [DOI: 10.1214/21-ejs1832] [Citation(s) in RCA: 11] [Impact Index Per Article: 2.8] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Thomas Mroz
- Department for Mathematics, University of Salzburg, Hellbrunnerstrasse 34, A-5020 Salzburg, Austria. Tel.: +43 662 8044 5326, Fax: +43 662 8044 137
| | - Sebastian Fuchs
- Department for Mathematics, University of Salzburg, Hellbrunnerstrasse 34, A-5020 Salzburg, Austria. Tel.: +43 662 8044 5326, Fax: +43 662 8044 137
| | - Wolfgang Trutschnig
- Department for Mathematics, University of Salzburg, Hellbrunnerstrasse 34, A-5020 Salzburg, Austria. Tel.: +43 662 8044 5326, Fax: +43 662 8044 137
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Omelka M, Hudecová Š, Neumeyer N. Maximum pseudo‐likelihood estimation based on estimated residuals in copula semiparametric models. Scand Stat Theory Appl 2020. [DOI: 10.1111/sjos.12498] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.2] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/26/2022]
Affiliation(s)
- Marek Omelka
- Department of Probability and Statistics, Faculty of Mathematics and Physics Charles University Czech Republic
| | - Šárka Hudecová
- Department of Probability and Statistics, Faculty of Mathematics and Physics Charles University Czech Republic
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9
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Zhao Y, Gijbels I, Van Keilegom I. Inference for semiparametric Gaussian copula model adjusted for linear regression using residual ranks. BERNOULLI 2020. [DOI: 10.3150/20-bej1208] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.4] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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10
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Liu X, Ning J, Cheng Y, Huang X, Li R. A flexible and robust method for assessing conditional association and conditional concordance. Stat Med 2019; 38:3656-3668. [PMID: 31074082 DOI: 10.1002/sim.8202] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 03/01/2018] [Revised: 04/10/2019] [Accepted: 04/18/2019] [Indexed: 01/05/2023]
Abstract
When analyzing bivariate outcome data, it is often of scientific interest to measure and estimate the association between the bivariate outcomes. In the presence of influential covariates for one or both of the outcomes, conditional association measures can quantify the strength of association without the disturbance of the marginal covariate effects, to provide cleaner and less-confounded insights into the bivariate association. In this work, we propose estimation and inferential procedures for assessing the conditional Kendall's tau coefficient given the covariates, by adopting the quantile regression and quantile copula framework to handle marginal covariate effects. The proposed method can flexibly accommodate right censoring and be readily applied to bivariate survival data. It also facilitates an estimator of the conditional concordance measure, namely, a conditional C index, where the unconditional C index is commonly used to assess the predictive capacity for survival outcomes. The proposed method is flexible and robust and can be easily implemented using standard software. The method performed satisfactorily in extensive simulation studies with and without censoring. Application of our methods to two real-life data examples demonstrates their desirable practical utility.
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Affiliation(s)
- Xiangyu Liu
- Department of Biostatistics and Data Science, The University of Texas Health Science Center at Houston, Houston, Texas
| | - Jing Ning
- Department of Biostatistics, The University of Texas MD Anderson Cancer Center, Houston, Texas
| | - Yu Cheng
- Department of Statistics, University of Pittsburgh, Pittsburgh, Pennsylvania
| | - Xuelin Huang
- Department of Biostatistics, The University of Texas MD Anderson Cancer Center, Houston, Texas
| | - Ruosha Li
- Department of Biostatistics and Data Science, The University of Texas Health Science Center at Houston, Houston, Texas
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11
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Neumeyer N, Omelka M, Hudecová Š. A copula approach for dependence modeling in multivariate nonparametric time series. J MULTIVARIATE ANAL 2019. [DOI: 10.1016/j.jmva.2018.11.016] [Citation(s) in RCA: 4] [Impact Index Per Article: 0.7] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/27/2022]
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12
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Spanhel F, Kurz MS. Simplified vine copula models: Approximations based on the simplifying assumption. Electron J Stat 2019. [DOI: 10.1214/19-ejs1547] [Citation(s) in RCA: 10] [Impact Index Per Article: 1.7] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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13
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Escobar-Bach M, Goegebeur Y, Guillou A. Local robust estimation of the Pickands dependence function. Ann Stat 2018. [DOI: 10.1214/17-aos1640] [Citation(s) in RCA: 13] [Impact Index Per Article: 1.9] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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14
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On the weak convergence of the empirical conditional copula under a simplifying assumption. J MULTIVARIATE ANAL 2018. [DOI: 10.1016/j.jmva.2018.03.002] [Citation(s) in RCA: 14] [Impact Index Per Article: 2.0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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15
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Levi E, Craiu RV. Bayesian inference for conditional copulas using Gaussian Process single index models. Comput Stat Data Anal 2018. [DOI: 10.1016/j.csda.2018.01.013] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.4] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/18/2022]
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16
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Gijbels I, Omelka M, Pešta M, Veraverbeke N. Score tests for covariate effects in conditional copulas. J MULTIVARIATE ANAL 2017. [DOI: 10.1016/j.jmva.2017.05.001] [Citation(s) in RCA: 13] [Impact Index Per Article: 1.6] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/17/2022]
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17
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18
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19
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Gijbels I, Omelka M, Veraverbeke N. Nonparametric testing for no covariate effects in conditional copulas. STATISTICS-ABINGDON 2016. [DOI: 10.1080/02331888.2016.1258070] [Citation(s) in RCA: 7] [Impact Index Per Article: 0.8] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/20/2022]
Affiliation(s)
- Irène Gijbels
- Department of Mathematics and Leuven Statistics Research Center (LStat), KU Leuven, Leuven (Heverlee), Belgium
| | - Marek Omelka
- Department of Probability and Statistics, Faculty of Mathematics and Physics, Charles University, Praha 8, Czech Republic
| | - Noël Veraverbeke
- Center for Statistics, Hasselt University, Diepenbeek, Belgium
- Unit for BMI, North-West University, Potchefstroom, South Africa
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20
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Nagler T, Czado C. Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas. J MULTIVARIATE ANAL 2016. [DOI: 10.1016/j.jmva.2016.07.003] [Citation(s) in RCA: 50] [Impact Index Per Article: 5.6] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/21/2022]
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21
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Gijbels I, Omelka M, Veraverbeke N. Partial and average copulas and association measures. Electron J Stat 2015. [DOI: 10.1214/15-ejs1077] [Citation(s) in RCA: 13] [Impact Index Per Article: 1.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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