On the covariance of the asymptotic empirical copula process
(2009) , 14 pages
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- Authors
- 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.
- Affiliations
Université de Laval Département de mathématique et de statistique
Citations
Genest, C., & Segers, J. (2009). On the covariance of the asymptotic empirical copula process (STAT Discussion Paper 0906). https://hdl.handle.net/2078.5/33849