On the covariance of the asymptotic empirical copula process |
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| Authors: | Christian Genest Johan Segers |
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| Affiliation: | a Département de mathématiques et de statistique, Université Laval, 1045, avenue de la Médecine, Québec, Canada G1V 0A6
b Institut de statistique, biostatistique et sciences actuarielles (ISBA), Université catholique de Louvain, Voie du Roman Pays 20, B-1348 Louvain-la-Neuve, Belgium |
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| Abstract: | Conditions are given under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance function than the standard empirical process based on observations from the copula. Illustrations are provided and consequences for inference are outlined. |
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| Keywords: | primary, 60F17 secondary, 60E15, 62H20 |
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