On the asymptotic covariance of the multivariate empirical copula process
Genest and Segers (2010) gave conditions under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance than the standard empirical process based on a random sample from the underlying copula. An extension of this...
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| Format: | Article |
| Language: | English |
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De Gruyter
2019-09-01
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| Series: | Dependence Modeling |
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| Online Access: | https://doi.org/10.1515/demo-2019-0015 |
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doaj-d97f72a9b4ce4788a39b6b3faf67ddf72021-10-02T19:18:18ZengDe GruyterDependence Modeling2300-22982019-09-017127929110.1515/demo-2019-0015demo-2019-0015On the asymptotic covariance of the multivariate empirical copula processGenest Christian0Mesfioui Mhamed1Nešlehová Johanna G.2Department of Mathematics and Statistics, McGill University, 805, rue Sherbrooke ouest, Montréal (Québec) CanadaH3A 0B9Département de mathématiques et d’informatique, Université du Québec à Trois-Rivières, C.P. 500, Trois-Rivières (Québec) CanadaG9A 5H7Department of Mathematics and Statistics, McGill University, 805, rue Sherbrooke ouest, Montréal (Québec) CanadaH3A 0B9Genest and Segers (2010) gave conditions under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance than the standard empirical process based on a random sample from the underlying copula. An extension of this result to the multivariate case is provided.https://doi.org/10.1515/demo-2019-0015empirical copula processleft-tail decreasing variable-by-variablelimiting covariancerank-based inference60e1560f1762g0562g2062h0562h20 |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Genest Christian Mesfioui Mhamed Nešlehová Johanna G. |
| spellingShingle |
Genest Christian Mesfioui Mhamed Nešlehová Johanna G. On the asymptotic covariance of the multivariate empirical copula process Dependence Modeling empirical copula process left-tail decreasing variable-by-variable limiting covariance rank-based inference 60e15 60f17 62g05 62g20 62h05 62h20 |
| author_facet |
Genest Christian Mesfioui Mhamed Nešlehová Johanna G. |
| author_sort |
Genest Christian |
| title |
On the asymptotic covariance of the multivariate empirical copula process |
| title_short |
On the asymptotic covariance of the multivariate empirical copula process |
| title_full |
On the asymptotic covariance of the multivariate empirical copula process |
| title_fullStr |
On the asymptotic covariance of the multivariate empirical copula process |
| title_full_unstemmed |
On the asymptotic covariance of the multivariate empirical copula process |
| title_sort |
on the asymptotic covariance of the multivariate empirical copula process |
| publisher |
De Gruyter |
| series |
Dependence Modeling |
| issn |
2300-2298 |
| publishDate |
2019-09-01 |
| description |
Genest and Segers (2010) gave conditions under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance than the standard empirical process based on a random sample from the underlying copula. An extension of this result to the multivariate case is provided. |
| topic |
empirical copula process left-tail decreasing variable-by-variable limiting covariance rank-based inference 60e15 60f17 62g05 62g20 62h05 62h20 |
| url |
https://doi.org/10.1515/demo-2019-0015 |
| work_keys_str_mv |
AT genestchristian ontheasymptoticcovarianceofthemultivariateempiricalcopulaprocess AT mesfiouimhamed ontheasymptoticcovarianceofthemultivariateempiricalcopulaprocess AT neslehovajohannag ontheasymptoticcovarianceofthemultivariateempiricalcopulaprocess |
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1716847390407786496 |