On the covariance of the asymptotic empirical copula process
Statistics Theory
2010-03-17 v2 Statistics Theory
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.
Keywords
Cite
@article{arxiv.0903.3330,
title = {On the covariance of the asymptotic empirical copula process},
author = {Christian Genest and Johan Segers},
journal= {arXiv preprint arXiv:0903.3330},
year = {2010}
}
Comments
14 pages, 2 figures