Empirical Projected Copula Process and Conditional Independence An Extended Version

Lorenzo Frattarolo () and Dominique Guegan ()
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Lorenzo Frattarolo: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, University of Ca’ Foscari [Venice, Italy]
Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: Conditional dependence is expressed as a projection map in the trivariate copula space. The projected copula, its sample counterpart and the related process are defined. The weak convergence of the projected copula process to a tight centered Gaussian Process is obtained under weak assumptions on copula derivatives.

Keywords: Conditional independence; empirical process; weak convergence; copula; Indépendance conditionnelle; processus empiriques; convergence faible; copule (search for similar items in EconPapers)
Date: 2013-10
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00881185v1
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Published in 2013

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