On the asymptotic covariance of the multivariate empirical copula process

DOI10.1515/DEMO-2019-0015zbMATH Open1445.62103OpenAlexW2972089337WikidataQ127290968 ScholiaQ127290968MaRDI QIDQ2178945FDOQ2178945

Authors: Christian Genest, Mhamed Mesfioui, Johanna Nešlehová 

Publication date: 12 May 2020

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2019-0015

Recommendations

• On the covariance of the asymptotic empirical copula process
• Asymptotic behavior of the empirical multilinear copula process under broad conditions
• Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
• Weak convergence of the empirical copula process with respect to weighted metrics
• On the empirical multilinear copula process for count data

zbMATH Keywords

empirical copula processrank-based inferenceleft-tail decreasing variable-by-variablelimiting covariance

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Inequalities; stochastic orderings (60E15)

Cites Work

• Dependence Modeling with Copulas
• Asymptotic behavior of the empirical multilinear copula process under broad conditions
• Title not available (Why is that?)
• Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
• Title not available (Why is that?)
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Tails of multivariate Archimedean copulas
• A simple non-parametric goodness-of-fit test for elliptical copulas
• Extremal behavior of Archimedean copulas
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Some Concepts of Dependence
• On the covariance of the asymptotic empirical copula process
• Title not available (Why is that?)
• Title not available (Why is that?)
• Correlation and dependence
• Title not available (Why is that?)
• Some notions of multivariate positive dependence
• Dependence for Archimedean copulas and aging properties of their generating functions

Cited In (4)

• Asymptotic behaviour of the empirical distance covariance for dependent data
• Copulae: an overview and recent developments
• On the covariance of the asymptotic empirical copula process
• Title not available (Why is that?)

Uses Software

• QRM
• CopulaModel

This page was built for publication: On the asymptotic covariance of the multivariate empirical copula process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2178945)