Asymptotics of empirical copula processes under non-restrictive smoothness assumptions

DOI10.3150/11-BEJ387MaRDI QIDQ442074zbMATH OpenOpenAlexFDO

Authors Johan Segers

Publication date 9 August 2012

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1012.2133, https://projecteuclid.org/euclid.bj/1340887001

zbMATH Keywords

tail dependenceArchimedean copulasmultiplier central limit theoremweak convergenceempirical processesBrownian bridgeempirical copulasextreme-value copulasGaussian copulas

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Strong limit theorems (60F15)

Abstract: Weak convergence of the empirical copula process is shown to hold under the assumption that the first-order partial derivatives of the copula exist and are continuous on certain subsets of the unit hypercube. The assumption is non-restrictive in the sense that it is needed anyway to ensure that the candidate limiting process exists and has continuous trajectories. In addition, resampling methods based on the multiplier central limit theorem, which require consistent estimation of the first-order derivatives, continue to be valid. Under certain growth conditions on the second-order partial derivatives that allow for explosive behavior near the boundaries, the almost sure rate in Stute's representation of the empirical copula process can be recovered. The conditions are verified, for instance, in the case of the Gaussian copula with full-rank correlation matrix, many Archimedean copulas, and many extreme-value copulas.

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