Predictive Inference for Bivariate Data with Nonparametric Copula

• Main Authors: Noryanti, Muhammad, Coolen, Frank P. A., Coolen-Maturi, Tahani
• Format: Conference or Workshop Item
• Language: English
• Published: AIP Publishing 2016
• Subjects: QA Mathematics
• Online Access: http://umpir.ump.edu.my/id/eprint/18628/1/fist-2016-yanti-Predictive%20Inference%20for%20Bivariate%20Data1.pdf; http://umpir.ump.edu.my/id/eprint/18628/; https://doi.org/10.1063/1.4954609
• Institution: Universiti Malaysia Pahang

This study presents a new nonparametric method for prediction of a future bivariate observation, by combining non-parametric predictive inference (NPI) for the marginals with nonparametric copula. In this paper we specifically use kernel method to take dependence structure into account. NPI is a fre...