Economics at your fingertips  

Weak convergence of the weighted empirical beta copula process

Betina Berghaus and Johan Segers

Journal of Multivariate Analysis, 2018, vol. 166, issue C, 266-281

Abstract: The empirical copula has proved to be useful in the construction and understanding of many statistical procedures related to dependence within random vectors. The empirical beta copula is a smoothed version of the empirical copula that enjoys better finite-sample properties. At the core lie fundamental results on the weak convergence of the empirical copula and empirical beta copula processes. Their scope of application can be increased by considering weighted versions of these processes. In this paper we show weak convergence for the weighted empirical beta copula process. The weak convergence result for the weighted empirical beta copula process is stronger than the one for the empirical copula and its use is more straightforward. The simplicity of its application is illustrated for weighted Cramér–von Mises tests for independence and for the estimation of the Pickands dependence function of an extreme-value copula.

Keywords: Copula; Empirical beta copula; Empirical copula; Pickands dependence function; Weighted weak convergence (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2018.03.009

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Haili He ().

Page updated 2020-05-02
Handle: RePEc:eee:jmvana:v:166:y:2018:i:c:p:266-281