Conditional empirical copula processes and generalized dependence measures

Alexis Derumigny; Jean-David Fermanian

Conditional empirical copula processes and generalized dependence measures

Alexis Derumigny
, Jean-David Fermanian

Mathematics of Operations Research

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 language	English
Place of Publication	Ithaca, NY
Publisher	ArXiv.org
Number of pages	29
Publication status	Published - 21 Aug 2020

Keywords

Empirical copula process
Conditional copula
Weak convergence
Bootstrap

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Derumigny2020conditionalFinal published version, 671 KB

https://arxiv.org/abs/2008.09480

Cite this

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KW - Empirical copula process

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Conditional empirical copula processes and generalized dependence measures

Abstract

Keywords

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