On the covariance of the asymptotic empirical copula process

DOI10.1016/J.JMVA.2010.03.018MaRDI QIDQ979237zbMATH OpenOpenAlexFDO

Authors Christian Genest, Johan Segers

Publication date 25 June 2010

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0903.3330

zbMATH Keywords

asymptotic variancecopuladependence parameterempirical processindependenceleft-tail decreasingrank-based inference

Mathematics Subject Classification ID

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.

Review text

The authors compare the asymptotic covariance of the empirical process to that of the empirical copula process, where the marginals are estimated by the empirical marginals. The main result of the paper states the somewhat counterintuitive result that under the assumption of a left tail dependent copula the covariance of the empirical copula process is pointwise smaller than the covariance of the copula itself. The authors state some implications of this result for inference of copula based dependence parameters and also for the \(d\)-dimensional case.

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Cited in

(29)

• Detecting changes in cross-sectional dependence in multivariate time series
• The locally Gaussian density estimator for multivariate data
• Weak convergence of the weighted empirical beta copula process
• On Kendall's process
• Tests of symmetry for bivariate copulas
• A horse race between the block maxima method and the peak-over-threshold approach
• Asymptotic behaviour of the empirical distance covariance for dependent data
• On the asymptotic covariance of the multivariate empirical copula process
• 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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• scientific article; zbMATH DE number 4082718 (Why is no real title available?)
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• scientific article; zbMATH DE number 2051081 (Why is no real title available?)
• 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
• Estimation of a regular conditional functional by conditional U-statistic regression
• Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
• On the distributional transform, Sklar's theorem, and the empirical copula process

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