On the covariance of the asymptotic empirical copula process
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asymptotic variancecopuladependence parameterempirical processindependenceleft-tail decreasingrank-based inference
Functional limit theorems; invariance principles (60F17) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)
Abstract: Conditions are given under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance function than the standard empirical process based on observations from the copula. Illustrations are provided and consequences for inference are outlined.
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Cited in
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- The locally Gaussian density estimator for multivariate data
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- Directional bivariate quantiles: a robust approach based on the cumulative distribution function
- Hybrid copula estimators
- Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
- Detecting breaks in the dependence of multivariate extreme-value distributions
- Nonparametric tests for tail monotonicity
- Multiple block sizes and overlapping blocks for multivariate time series extremes
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- Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
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- Estimating checkerboard approximations with sample d-copulas
- A strong invariance theorem of the tail empirical copula processes
- Nonparametric Identification of Copula Structures
- Applications of Multivariate Quasi-Random Sampling with Neural Networks
- Transformation-Kernel Estimation of Copula Densities
- Visualization and Assessment of Copula Symmetry
- Asymptotic behavior of the empirical checkerboard copula process for binary data: an educational presentation
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- On the distributional transform, Sklar's theorem, and the empirical copula process
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