On the covariance of the asymptotic empirical copula process

Authors:
Christian Genest;Johan Segers
Affiliations:
Département de mathématiques et de statistique, Université Laval, 1045, avenue de la Médecine, Québec, Canada G1V 0A6;Institut de statistique, biostatistique et sciences actuarielles (ISBA), Université catholique de Louvain, Voie du Roman Pays 20, B-1348 Louvain-la-Neuve, Belgium
Venue:
Journal of Multivariate Analysis
Year:
2010

Citing 1
Cited 1

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Journal of Multivariate Analysis

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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.