On the weak convergence of the empirical conditional copula under a simplifying assumption

DOI10.1016/j.jmva.2018.03.002zbMath1401.62082arXiv1511.06544OpenAlexW2962853969WikidataQ114665348 ScholiaQ114665348MaRDI QIDQ1749990

François Portier, Johan Segers

Publication date: 17 May 2018

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.06544

zbMATH Keywords

weak convergencesmoothinglocal linear estimatorempirical copula processpartial copulapair-copula constructionDonsker class

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30)

Related Items (15)

Nonparametric estimation of the conditional survival function with double smoothing ⋮ A copula approach for dependence modeling in multivariate nonparametric time series ⋮ A censored copula model for micro-level claim reserving ⋮ Risk bounds when learning infinitely many response functions by ordinary linear regression ⋮ About tests of the ``simplifying assumption for conditional copulas ⋮ Unnamed Item ⋮ On the weak convergence of the empirical conditional copula under a simplifying assumption ⋮ Local robust estimation of the Pickands dependence function ⋮ Rank-based inference tools for copula regression, with property and casualty insurance applications ⋮ On the asymptotics of \(Z\)-estimators indexed by the objective functions ⋮ Monte Carlo integration with a growing number of control variates ⋮ How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond ⋮ Rademacher complexity for Markov chains: applications to kernel smoothing and Metropolis-Hastings ⋮ Conditional independence testing via weighted partial copulas ⋮ Conditional empirical copula processes and generalized measures of association

Uses Software

• R

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pair-copula constructions of multiple dependence
• Simplified pair copula constructions -- limitations and extensions
• Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
• Beyond simplified pair-copula constructions
• U-processes: Rates of convergence
• Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing
• Partial and average copulas and association measures
• On the simplified pair-copula construction -- simply useful or too simplistic?
• Archimedean copula estimation using Bayesian splines smoothing techniques
• Strong uniform consistency rates for estimators of conditional functionals
• Asymptotic distributions of multivariate rank order statistics
• Consistent nonparametric regression. Discussion
• Sharper bounds for Gaussian and empirical processes
• Nonparametric estimation of pair-copula constructions with the empirical pair-copula
• About tests of the ``simplifying assumption for conditional copulas
• On the weak convergence of the empirical conditional copula under a simplifying assumption
• Vines -- a new graphical model for dependent random variables.
• Rates of strong uniform consistency for multivariate kernel density estimators. (Vitesse de convergence uniforme presque sûre pour des estimateurs à noyaux de densités multivariées)
• Weak convergence and empirical processes. With applications to statistics
• Parameter estimation for pair-copula constructions
• Hybrid copula estimators
• Non-parametric Estimation of the Residual Distribution
• Estimation of a Conditional Copula and Association Measures
• Estimation of a Copula when a Covariate Affects only Marginal Distributions
• Design-adaptive Nonparametric Regression
• Uniform Central Limit Theorems
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• Empirical processes indexed by estimated functions
• An empirical process approach to the uniform consistency of kernel-type function estimators

This page was built for publication: On the weak convergence of the empirical conditional copula under a simplifying assumption