Title of article
On the covariance of the asymptotic empirical copula process
Author/Authors
Genest، نويسنده , , Christian and Segers، نويسنده , , Johan، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2010
Pages
9
From page
1837
To page
1845
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
Empirical process , Independence , Left-tail decreasing , Asymptotic variance , Rank-based inference , Copula , Dependence parameter
Journal title
Journal of Multivariate Analysis
Serial Year
2010
Journal title
Journal of Multivariate Analysis
Record number
1565467
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