Weak convergence of empirical copula processes indexed by functions
Statistics Theory
2015-06-18 v2 Statistics Theory
Abstract
Weak convergence of the empirical copula process indexed by a class of functions is established. Two scenarios are considered in which either some smoothness of these functions or smoothness of the underlying copula function is required. A novel integration by parts formula for multivariate, right continuous functions of bounded variation, which is perhaps of independent interest, is proved. It is a key ingredient in proving weak convergence of a general empirical process indexed by functions of bounded variation.
Cite
@article{arxiv.1410.4150,
title = {Weak convergence of empirical copula processes indexed by functions},
author = {Dragan Radulovic and Marten Wegkamp and Yue Zhao},
journal= {arXiv preprint arXiv:1410.4150},
year = {2015}
}