Conditional empirical copula processes and generalized dependence measures
Statistics Theory
2020-08-24 v1 Statistics Theory
Abstract
We study the weak convergence of conditional empirical copula processes, when the conditioning event has a nonzero probability. The validity of several bootstrap schemes is stated, including the exchangeable bootstrap. We define general - possibly conditional - multivariate dependence measures and their estimators. By applying our theoretical results, we prove the asymptotic normality of some estimators of such dependence measures.
Cite
@article{arxiv.2008.09480,
title = {Conditional empirical copula processes and generalized dependence measures},
author = {Alexis Derumigny and Jean-David Fermanian},
journal= {arXiv preprint arXiv:2008.09480},
year = {2020}
}
Comments
29 pages, 4 figures