On the covariance of the asymptotic empirical copula process

Christian Genest and Johan Segers

Journal of Multivariate Analysis, 2010, vol. 101, issue 8, 1837-1845

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: Asymptotic; variance; Copula; Dependence; parameter; Empirical; process; Independence; Left-tail; decreasing; Rank-based; inference (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (14)

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