Some applications of the strong approximation of the integrated empirical copula processes |
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Authors: | S Bouzebda |
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Institution: | 1.L.M.A.C., Sorbonne Univ.,Univ. de Technológie de Compiègne,Paris,France |
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Abstract: | The purpose of the present paper is to provide a strong invariance principle for the integrated empirical copula process introduced in a series of papers by Henze and Nikitin in the univariate setting] with the rate of the approximation for multivariate empirical processes. The applications discussed here are change-point detection in multivariate copula models and the integrated empirical copula process with estimated parameter. Finally, a general notion of bootstrapped integrated empirical copula process, constructed by exchangeably weighting sample, is presented. |
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