When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs

DOI10.1214/14-AOS1237zbMATH Open1323.60038arXiv1305.6408OpenAlexW3103006235MaRDI QIDQ464198FDOQ464198

Authors: Axel Bücher, Johan Segers, Stanislav Volgushev 

Publication date: 17 October 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: In the past decades, weak convergence theory for stochastic processes has become a standard tool for analyzing the asymptotic properties of various statistics. Routinely, weak convergence is considered in the space of bounded functions equipped with the supremum metric. However, there are cases when weak convergence in those spaces fails to hold. Examples include empirical copula and tail dependence processes and residual empirical processes in linear regression models in case the underlying distributions lack a certain degree of smoothness. To resolve the issue, a new metric for locally bounded functions is introduced and the corresponding weak convergence theory is developed. Convergence with respect to the new metric is related to epi- and hypo-convergence and is weaker than uniform convergence. Still, for continuous limits, it is equivalent to locally uniform convergence, whereas under mild side conditions, it implies $L^p$ convergence. For the examples mentioned above, weak convergence with respect to the new metric is established in situations where it does not occur with respect to the supremum distance. The results are applied to obtain asymptotic properties of resampling procedures and goodness-of-fit tests.

Full work available at URL: https://arxiv.org/abs/1305.6408

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zbMATH Keywords

copulabootstraplinear regressionstable tail dependence functionweak convergence\(L^{p}\)-convergenceepigraphshypographsresidual empirical process

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Statistics of extreme values; tail inference (62G32) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) (L^p)-limit theorems (60F25)

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Cited In (18)

• Estimation of Copulas via Maximum Mean Discrepancy
• Asymptotic behavior of the empirical multilinear copula process under broad conditions
• Testing for a \(\delta \)-neighborhood of a generalized Pareto copula
• Weighted least-squares inference for multivariate copulas based on dependence coefficients
• Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
• Weak convergence of quantile and expectile processes under general assumptions
• An estimator of the stable tail dependence function based on the empirical beta copula
• When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs
• Concentration bounds for the empirical angular measure with statistical learning applications
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• Bias correction in conditional multivariate extremes
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Uses Software

• TwoCop

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