On the empirical multilinear copula process for count data

DOI10.3150/13-BEJ524MaRDI QIDQ396007zbMATH OpenOpenAlexFDO

Authors Johanna Nešlehová, Christian Genest, Bruno Rémillard

Publication date 8 August 2014

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.1200, https://projecteuclid.org/euclid.bj/1402488942

zbMATH Keywords

contingency tablecount dataempirical processKendall's tauSpearman's rhotest of independencecheckerboard copulamultilinear extension copulamid-ranksSpearsman's rho

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Contingency tables (62H17) Measures of association (correlation, canonical correlation, etc.) (62H20) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Abstract: Continuation refers to the operation by which the cumulative distribution function of a discontinuous random vector is made continuous through multilinear interpolation. The copula that results from the application of this technique to the classical empirical copula is either called the multilinear or the checkerboard copula. As shown by Genest and Nev{s}lehov'{a} (Astin Bull. 37 (2007) 475-515) and Nev{s}lehov'{a} (J. Multivariate Anal. 98 (2007) 544-567), this copula plays a central role in characterizing dependence concepts in discrete random vectors. In this paper, the authors establish the asymptotic behavior of the empirical process associated with the multilinear copula based on $d$-variate count data. This empirical process does not generally converge in law on the space $mathcalC([0,1{]}^d)$ of continuous functions on $[0,1{]}^d$, equipped with the uniform norm. However, the authors show that the process converges in $mathcalC(K)$ for any compact $KsubsetmathcalO$, where $mathcalO$ is a dense open subset of $[0,1{]}^d$, whose complement is the Cartesian product of the ranges of the marginal distribution functions. This result is sufficient to deduce the weak limit of many functionals of the process, including classical statistics for monotone trend. It also leads to a powerful and consistent test of independence which is applicable even to sparse contingency tables whose dimension is sample size dependent.

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Cites work

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Cited in

(37)

• A typical copula is singular
• When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs
• Asymptotic behavior of the empirical multilinear copula process under broad conditions
• On the Correlation Structure of Gaussian Copula Models for Geostatistical Count Data
• Tie-Break Bootstrap for Nonparametric Rank Statistics
• Subsampling (weighted smooth) empirical copula processes
• Convergence results for patchwork copulas
• On a multivariate copula-based dependence measure and its estimation
• Estimating scale-invariant directed dependence of bivariate distributions
• New goodness-of-fit diagnostics for conditional discrete response models
• Extensions of subcopulas
• A maximum entropy copula model for mixed data: representation, estimation and applications
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• Maximal coupling of empirical copulas for discrete vectors
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• Copula modeling from Abe Sklar to the present day
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• Accounting for endogeneity in regression models using copulas: a step-by-step guide for empirical studies
• The empirical beta copula
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• Density ratio model for multivariate outcomes
• Copulas checker-type approximations: application to quantiles estimation of sums of dependent random variables
• Tests of serial dependence for multivariate time series with arbitrary distributions
• Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
• On the asymptotic covariance of the multivariate empirical copula process
• On exploratory analytic method for multi-way contingency tables with an ordinal response variable and categorical explanatory variables
• Testing asymmetry in dependence with copula-coskewness
• Some copula inference procedures adapted to the presence of ties
• Kendall's tau and Spearman's rho for \(n\)-dimensional Archimedean copulas and their asymptotic properties
• Rank correlation under categorical confounding
• Estimating checkerboard approximations with sample \(d\)-copulas
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• Spearman's footrule and Gini's gamma: local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta

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