Empirical and sequential empirical copula processes under serial dependence

Details Empirical and sequential empirical copula processes under serial dependence Empirical and sequential empirical copula processes under serial dependence

2011-11-11

arxiv.org/abs/1111.2778v1

Mathematics

Statistics Theory

16 pages

Scientific paper

The empirical copula process plays a central role for statistical inference on copulas. Recently, Segers (2011) investigated the asymptotic behavior of this process under non-restrictive smoothness assumptions for the case of i.i.d. random variables. In the present paper we extend his main result to the case of serial dependent random variables by means of the powerful and elegant functional delta method. Moreover, we utilize the functional delta method in order to obtain conditional consistency of certain bootstrap procedures. Finally, we extend the results to the more general sequential empirical copula process under serial dependence.

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