Weak convergence of empirical copula processes

From MaRDI portal

Publication:1769785

Jump to:navigation, search

DOI10.3150/bj/1099579158zbMath1068.62059OpenAlexW2030399213MaRDI QIDQ1769785

Jean-David Fermanian, Marten H. Wegkamp, Dragan Radulovic

Publication date: 30 March 2005

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1099579158

zbMATH Keywords

weak convergence empirical copula process smoothed empirical copula processes

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

Related Items

A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing, Quantile spectral processes: asymptotic analysis and inference, The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series, Nonparametric estimation of pair-copula constructions with the empirical pair-copula, Rank-based inference for bivariate extreme-value copulas, Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing, A quantile-copula approach to conditional density estimation, Convergence results for patchwork copulas, Choice of smoothing parameter in multivariate copula-based tail coefficients, Measures of tail asymmetry for bivariate copulas, Estimation and inference on the joint conditional distribution for bivariate longitudinal data using Gaussian copula, Inference for asymptotically independent samples of extremes, Extensions of subcopulas, Some hypothesis tests based on random projection, Nonparametric inference on Lévy measures and copulas, Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters, Multivariate extensions of Spearman's rho and related statistics, A multivariate version of Hoeffding's phi-square, On testing equality of pairwise rank correlations in a multivariate random vector, Large sample properties for a class of copulas in bivariate survival analysis, Dependence measure for length-biased survival data using copulas, Asymptotic behavior of weighted multivariate Cramér-von Mises-type statistics under contiguous alternatives, Some new results on the empirical copula estimator with applications, Empirical copulas for consecutive survival data, Tests of symmetry for bivariate copulas, Jump tail dependence in Lévy copula models, Semi- and nonparametric ARCH processes, Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique, Empirical and sequential empirical copula processes under serial dependence, A note on bootstrap approximations for the empirical copula process, Sklar's theorem derived using probabilistic continuation and two consistency results, Measuring association and dependence between random vectors, On the empirical multilinear copula process for count data, On the strong approximation of bootstrapped empirical copula processes with applications, Path-dependent estimation of a distribution under generalized censoring, Rank correlation under categorical confounding, Partial and average copulas and association measures, Large sample behavior of the Bernstein copula estimator, Test of symmetry based on copula function, An empirical central limit theorem with applications to copulas under weak dependence, Jackknife empirical likelihood method for copulas, A note on testing independence by a copula-based order selection approach, A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf, Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process, Goodness-of-fit testing for copulas: a distribution-free approach, Weighted estimation of the dependence function for an extreme-value distribution, Asymptotics of empirical copula processes under non-restrictive smoothness assumptions, A review of copula models for economic time series, A test for Archimedeanity in bivariate copula models, A review on ambiguity in stochastic portfolio optimization, Measures of radial asymmetry for bivariate random vectors, Some new multivariate tests of independence, Statistical models and methods for dependence in insurance data, New estimators of the Pickands dependence function and a test for extreme-value dependence, A general approach to the joint asymptotic analysis of statistics from sub-samples, When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs, On tests of radial symmetry for bivariate copulas, Nonparametric tests for tail monotonicity, Kac's representation for empirical copula process from an asymptotic viewpoint, The empirical beta copula, Weak convergence of the weighted empirical beta copula process, Some applications of the strong approximation of the integrated empirical copula processes, Empirical likelihood based confidence intervals for copulas, Model selection of copulas: AIC versus a cross validation copula information criterion, Distribution-free tests of stochastic monotonicity, Geometry of discrete copulas, Rearranged dependence measures, Strong approximation of multidimensional \(\mathbb P\)-\(\mathbb P\) plots processes by Gaussian processes with applications to statistical tests, Testing the independence of maxima: from bivariate vectors to spatial extreme fields: asymptotic independence of extremes, Asymptotic behavior of the empirical multilinear copula process under broad conditions, Weak convergence of empirical and bootstrapped \(C\)-power processes and application to copula goodness-of-fit, On the covariance of the asymptotic empirical copula process, Nonparametric measures of dependence for biometric data studies, Subsampling (weighted smooth) empirical copula processes, Applications and asymptotic power of marginal-free tests of stochastic vectorial independence, Identifiability and estimation of meta-elliptical copula generators, Nonparametric rank-based tests of bivariate extreme-value dependence, Nonparametric estimation of distributions with given marginals via Bernstein-Kantorovich polynomials: \(L_{1}\) and pointwise convergence theory, Multivariate conditional versions of Spearman's rho and related measures of tail dependence, Goodness-of-fit test for specification of semiparametric copula dependence models, Goodness-of-fit tests for copulas: A review and a power study, Tests of stochastic monotonicity with improved power, Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models, Testing for equality between two copulas, Dependence structure estimation using copula recursive trees, Tests of independence among continuous random vectors based on Cramér-von Mises functionals of the empirical copula process, Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman's rho, Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence, Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions, A test of independence in some copula models, Validation of association, Linear B-spline copulas with applications to nonparametric estimation of copulas, A copula based ICA algorithm and its application to time series clustering, Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework, Conditional independence testing via weighted partial copulas, Hybrid copula estimators, Conditional empirical copula processes and generalized measures of association, Maximal coupling of empirical copulas for discrete vectors, Copula-based measures of asymmetry between the lower and upper tail probabilities, The integrated copula spectrum, Intermediate efficiency in nonparametric testing problems with an application to some weighted statistics, New two-sample tests based on the integrated empirical copula processes, Nonparametric estimation of risk ratios for bivariate data, A Strong Invariance Theorem of the Tail Empirical Copula Processes, COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES, Non‐parametric Copula Estimation Under Bivariate Censoring, Estimation of a Copula when a Covariate Affects only Marginal Distributions, Asymptotic Properties of Generalized Multivariate Rank Statistics, Copulas checker-type approximations: Application to quantiles estimation of sums of dependent random variables, Unnamed Item, Study of semiparametric copula models via divergences with bivariate censored data, Distributions associated to the counting techniques of the d-sample copula of order m and weak convergence of the sample process, Copula-Based Regression Estimation and Inference, Simulated Method of Moments Estimation for Copula-Based Multivariate Models, Estimating checkerboard approximations with sample d-copulas, Generalized madogram and pairwise dependence of maxima over two regions of a random field, Goodness-of-fit tests for parametric families of Archimedean copulas, A random walk through Canadian contributions on empirical processes and their applications in probability and statistics, Testing symmetry for bivariate copulas using Bernstein polynomials, Large sample properties of nonparametric copula estimators under bivariate censoring, Wavelet block thresholding for copula density estimation under biased sampling, Estimation and inference in factor copula models with exogenous covariates, A goodness-of-fit test based on Bézier curve estimation of Kendall distribution, Tail inverse regression: dimension reduction for prediction of extremes, Approximations of copulas via transformed moments, When copulas and smoothing met: an interview with Irène Gijbels, A novel positive dependence property and its impact on a popular class of concordance measures, Copula modeling from Abe Sklar to the present day, Nonparametric Inference for Copulas and Measures of Dependence Under Length-Biased Sampling and Informative Censoring, Estimation of Copulas via Maximum Mean Discrepancy, Do stock returns have an Archimedean copula?, Tail-weighted measures of dependence, GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS, Local Power Analyses of Goodness‐of‐fit Tests for Copulas, On the Multivariate Two-Sample Problem Using Strong Approximations of Empirical Copula Processes, A CENTRAL LIMIT THEOREM FOR LATIN HYPERCUBE SAMPLING WITH DEPENDENCE AND APPLICATION TO EXOTIC BASKET OPTION PRICING, Tail-weighted dependence measures with limit being the tail dependence coefficient, LOCAL ESTIMATION OF DYNAMIC COPULA MODELS, Semiparametric estimation in copula models, Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection, A kolmogorov-smirnov type test for positive quadrant dependence, A Copula‐Based Non‐parametric Measure of Regression Dependence, On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators, The Copula Information Criteria, Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns, A note on minimum distance estimation of copula densities, Bivariate Tail Dependence and the Generation of Multivariate Extreme Value Distributions, On quadratic functionals of the Brownian sheet and related processes, Nonparametric estimation of the lower tail dependence λ_Lin bivariate copulas, Robust Fits for Copula Models, Unnamed Item, Weighted Multivariate Tests of Independence, A New Test Procedure of Independence in Copula Models via χ²-Divergence, Nonparametric estimation of copula functions for dependence modelling, Spearman's footrule and Gini's gamma: a review with complements, Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study, Validation of positive quadrant dependence, Uncertainty quantification in complex simulation models using ensemble copula coupling, Asymptotic total variation tests for copulas, Bayesian nonparametric estimation of a copula, Non-parametric weighted tests for independence based on empirical copula process, On properties of progressively Type-II censored conditionally N-ordered statistics arising from a non-identical and dependent random vector, On a new goodness-of-fit process for families of copulas, An Empirical Process View of Inverse Regression, Large-sample tests of extreme-value dependence for multivariate copulas, Positive quadrant dependence testing and constrained copula estimation, Copulas: A Review and Recent Developments, RANDOMIZATION TESTS OF COPULA SYMMETRY, Strong approximation of empirical copula processes by Gaussian processes, Flexible Copula Density Estimation with Penalized Hierarchical B-splines, Testing exchangeability of copulas in arbitrary dimension, Unnamed Item, New estimates and tests of independence in some copula models

Cites Work

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:1769785&oldid=14112538"