Empirical Projected Copula Process and Conditional Independence an Extended Version

Lorenzo Frattarolo () and Dominique Guegan ()
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Lorenzo Frattarolo: Centre d'Economie de la Sorbonne and University Ca Foscari - Department of Economics, https://centredeconomiesorbonne.cnrs.fr
Dominique Guegan: Centre d'Economie de la Sorbonne - Paris School of Economics, https://cv.archives-ouvertes.fr/dominique-guegan

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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 (search for similar items in EconPapers)
JEL-codes: C10 C40 C52 D81 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2013-10
New Economics Papers: this item is included in nep-ecm
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ftp://mse.univ-paris1.fr/pub/mse/CES2013/13068.pdf (application/pdf)

Related works:
Working Paper: Empirical Projected Copula Process and Conditional Independence An Extended Version (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:13068

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