Group for Research in Decision Analysis

G-2017-102

Semi-parametric copula-based models under non-stationarity

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In this paper, we consider non-stationary response variables and covariates, where the marginal distributions and the associated copula may be time-dependent. We propose estimators for the unknown parameters and we establish the limiting distribution of the estimators of the copula and the conditional copula, together with a parametric bootstrap method for constructing confidence bands around the estimator and for testing the adequacy of the model. We also consider three examples of functionals of the copula-based model under non-stationarity: conditional quantiles, conditional mean, and conditional expected shortfall. The asymptotic distribution of the estimation errors is shown to be Gaussian, and bootstrapping methods are proposed to estimate their asymptotic variances. The finite sample performance of our estimators is investigated through Monte Carlo experiments, and we show three examples of implementation of the proposed methodology.

, 25 pages

This cahier was revised in September 2018