Conditional empirical copula processes and generalized dependence measures

Alexis Derumigny, Jean-David Fermanian

Research output: Working paper

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Abstract

We study the weak convergence of conditional empirical copula processes, when the conditioning event has a nonzero probability. The validity of several bootstrap schemes is stated, including the exchangeable bootstrap. We define general - possibly conditional - multivariate dependence measures and their estimators. By applying our theoretical results, we prove the asymptotic normality of some estimators of such dependence measures.
Original languageEnglish
Place of PublicationIthaca, NY
PublisherarXiv.org
Number of pages29
Publication statusPublished - 21 Aug 2020

Keywords

  • Empirical copula process
  • Conditional copula
  • Weak convergence
  • Bootstrap

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