On the covariance of the asymptotic empirical copula process

DOI10.1016/j.jmva.2010.03.018zbMath1211.62030arXiv0903.3330OpenAlexW2047908315MaRDI QIDQ979237

Johan Segers, Christian Genest

Publication date: 25 June 2010

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

Full work available at URL: https://arxiv.org/abs/0903.3330

zbMATH Keywords

copulaindependenceasymptotic varianceempirical processrank-based inferencedependence parameterleft-tail decreasing

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

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