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On the covariance of the asymptotic empirical copula process

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Genest, Christian [UCL] Segers, Johan [UCL]

Conditions are given under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance function than the standard empirical process based on observations from the copula. Illustrations are provided and consequences for inference are outlined. (C) 2010 Elsevier Inc. All rights reserved.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès restreint
Publication date 2010
Language Anglais
Journal information "Journal of Multivariate Analysis" - Vol. 101, no. 8, p. 1837-1845 (2010)
Peer reviewed yes
Publisher Elsevier Inc (San Diego)
issn 0047-259X
e-issn 1095-7243
Publication status Publié
Affiliation UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Keywords Asymptotic variance ; Copula ; Dependence parameter ; Empirical process ; Independence ; Left-tail decreasing ; Rank-based inference
Links
Bibliographic reference Genest, Christian ; Segers, Johan. On the covariance of the asymptotic empirical copula process. In: Journal of Multivariate Analysis, Vol. 101, no. 8, p. 1837-1845 (2010)
Permanent URL http://hdl.handle.net/2078.1/33799