On the asymptotic covariance of the multivariate empirical copula process

DOI10.1515/demo-2019-0015zbMath1445.62103MaRDI QIDQ2178945

Christian Genest, Johanna G. Nešlehová, M'hamed Mesfioui

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

zbMATH Keywords

empirical copula process; rank-based inference; left-tail decreasing variable-by-variable; limiting covariance

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

60E15: Inequalities; stochastic orderings

62G05: Nonparametric estimation

62H20: Measures of association (correlation, canonical correlation, etc.)

62H05: Characterization and structure theory for multivariate probability distributions; copulas

Uses Software

• QRM
• CopulaModel