Title: Conditional copulas: Mean, median and quantiles
Authors: Irene Gijbels - KU Leuven (Belgium) [presenting]
Margot Matterne - KU Leuven (Belgium)
Abstract: A conditional copula fully characterizes the dependency between random variables, conditionally upon a covariate (vector). A way to summarize this dependence structure taking into account the impact of the covariate is via the conditional copula, which under fairly general conditions coincides with the partial copula. A mean is just one way to summarize this conditional dependence behavior. We introduce the notions of median conditional copula, and more generally quantile conditional copula. We investigate the existence of these concepts, and establish explicit expressions for calculating them. Examples are given to illustrate the concepts.