Weak convergence of the sequential empirical copula processes under long-range dependence
Statistics Theory
2018-03-16 v3 Statistics Theory
Abstract
We consider multivariate copula-based stationary time-series under Gaussian subordination. Observed time series are subordinated to long-range dependent Gaussian processes and characterized by arbitrary marginal copula distributions. First of all, we establish limit theorems for the marginal and quantile marginal empirical processes of multivariate stationary long-range dependent sequences under Gaussian subordination. Furthermore, we establish the asymptotic behavior of sequential empirical copula processes under non-restrictive smoothness assumptions. The limiting processes in the case of long-memory sequences are quite different from the cases of of i.i.d. and weakly dependent observations.
Cite
@article{arxiv.1801.02364,
title = {Weak convergence of the sequential empirical copula processes under long-range dependence},
author = {Yusufu Simayi},
journal= {arXiv preprint arXiv:1801.02364},
year = {2018}
}