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Weak convergence of the weighted empirical beta copula process

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  • Berghaus, Betina
  • Segers, Johan

Abstract

The empirical copula has proved to be useful in the construction and understanding of many statistical procedures related to dependence within random vectors. The empirical beta copula is a smoothed version of the empirical copula that enjoys better finite-sample properties. At the core lie fundamental results on the weak convergence of the empirical copula and empirical beta copula processes. Their scope of application can be increased by considering weighted versions of these processes. In this paper we show weak convergence for the weighted empirical beta copula process. The weak convergence result for the weighted empirical beta copula process is stronger than the one for the empirical copula and its use is more straightforward. The simplicity of its application is illustrated for weighted Cramér–von Mises tests for independence and for the estimation of the Pickands dependence function of an extreme-value copula.

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  • Berghaus, Betina & Segers, Johan, 2018. "Weak convergence of the weighted empirical beta copula process," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 266-281.
    • Handle: RePEc:eee:jmvana:v:166:y:2018:i:c:p:266-281
    DOI: 10.1016/j.jmva.2018.03.009
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