On the covariance of the asymptotic empirical copula process

JOURNAL OF MULTIVARIATE ANALYSIS

卷:101

Article

Genest, Christian¹  Segers, Johan² 

[1] Univ Laval, Dept Math & Stat, Quebec City, PQ G1V 0A6, Canada

[2] Catholic Univ Louvain, Inst Stat Biostat & Sci Actuarielles ISBA, B-1348 Louvain, Belgium

关键词: Asymptotic variance;    Copula;    Dependence parameter;    Empirical process;    Independence;    Left-tail decreasing;    Rank-based inference;   

DOI  :  10.1016/j.jmva.2010.03.018

来源: Elsevier

【 摘 要 】

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. (C) 2010 Elsevier Inc. All rights reserved.

【 授权许可】

Free