On the covariance of the asymptotic empirical copula process

DOI10.1016/J.JMVA.2010.03.018zbMath1211.62030arXiv0903.3330OpenAlexW2047908315MaRDI QIDQ979237

Johan Segers, Christian Genest

Publication date: 25 June 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.3330

zbMATH Keywords

copulaindependenceasymptotic varianceempirical processrank-based inferencedependence parameterleft-tail decreasing

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

Related Items (18)

Detecting breaks in the dependence of multivariate extreme-value distributions ⋮ Multiple block sizes and overlapping blocks for multivariate time series extremes ⋮ Nonparametric inference on Lévy measures and copulas ⋮ Nonparametric Identification of Copula Structures ⋮ Estimating checkerboard approximations with sample d-copulas ⋮ On the asymptotic covariance of the multivariate empirical copula process ⋮ Tests of symmetry for bivariate copulas ⋮ Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique ⋮ Applications of Multivariate Quasi-Random Sampling with Neural Networks ⋮ The locally Gaussian density estimator for multivariate data ⋮ Asymptotics of empirical copula processes under non-restrictive smoothness assumptions ⋮ Directional bivariate quantiles: a robust approach based on the cumulative distribution function ⋮ Nonparametric tests for tail monotonicity ⋮ Detecting changes in cross-sectional dependence in multivariate time series ⋮ Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions ⋮ A horse race between the block maxima method and the peak-over-threshold approach ⋮ Hybrid copula estimators ⋮ Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis

Cites Work

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• Asymptotic Statistics
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• A Paradoxical Effect of Nuisance Parameters on Efficiency of Estimators
• A Primer on Copulas for Count Data
• Some Concepts of Dependence
• Relationships Among Some Concepts of Bivariate Dependence

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