On the covariance of the asymptotic empirical copula process (Q979237)

The authors compare the asymptotic covariance of the empirical process to that of the empirical copula process, where the marginals are estimated by the empirical marginals. The main result of the paper states the somewhat counterintuitive result that under the assumption of a left tail dependent copula the covariance of the empirical copula process is pointwise smaller than the covariance of the copula itself. The authors state some implications of this result for inference of copula based dependence parameters and also for the \(d\)-dimensional case.