Conditional empirical copula processes and generalized dependence measures

Authors Alexis Derumigny, Jean-David Fermanian

Publication date 21 August 2020

Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09) Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30)

Abstract: We study the weak convergence of conditional empirical copula processes, when the conditioning event has a nonzero probability. The validity of several bootstrap schemes is stated, including the exchangeable bootstrap. We define general - possibly conditional - multivariate dependence measures and their estimators. By applying our theoretical results, we prove the asymptotic normality of some estimators of such dependence measures.

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