On the asymptotic covariance of the multivariate empirical copula process

Christian Genest; Mhamed Mesfioui; Johanna G. Nešlehová

doi:10.1515/demo-2019-0015

On the asymptotic covariance of the multivariate empirical copula process

Christian Genest^*, Mhamed Mesfioui, Johanna G. Nešlehová

^*Korrespondierende*r Autor*in für diese Arbeit

Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung

Abstract

Genest and Segers (2010) gave conditions under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance than the standard empirical process based on a random sample from the underlying copula. An extension of this result to the multivariate case is provided.

Originalsprache	Englisch
Seiten (von - bis)	279-291
Seitenumfang	13
Fachzeitschrift	Dependence Modeling
Jahrgang	7
Ausgabenummer	1
DOIs	https://doi.org/10.1515/demo-2019-0015
Publikationsstatus	Veröffentlicht - 1 Jan. 2019
Extern publiziert	Ja

Bibliographische Notiz

Publisher Copyright:
© 2019 Christian Genest et al., published by De Gruyter.

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Zitat

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abstract = "Genest and Segers (2010) gave conditions under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance than the standard empirical process based on a random sample from the underlying copula. An extension of this result to the multivariate case is provided.",

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AU - Nešlehová, Johanna G.

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KW - left-tail decreasing variable-by-variable

KW - limiting covariance

KW - rank-based inference

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