On the covariance of the asymptotic empirical copula process

Details On the covariance of the asymptotic empirical copula process On the covariance of the asymptotic empirical copula process

2009-03-19

arxiv.org/abs/0903.3330v2

Mathematics

Statistics Theory

14 pages, 2 figures

Scientific paper

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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