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.
|Place of Publication||Ithaca, NY|
|Number of pages||29|
|Publication status||Published - 21 Aug 2020|
- Empirical copula process
- Conditional copula
- Weak convergence