Empirical Projected Copula Process and Conditional Independence An Extended Version
AbstractConditional dependence is expressed as a projection map in the trivariate copula space. The projected copula, its sample counterpart and the related process are defined. The weak convergence of the projected copula process to a tight centered Gaussian Process is obtained under weak assumptions on copula derivatives.
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Date of creation: Oct 2013
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Conditional independence; empirical process; weak convergence; copula;
Other versions of this item:
- Lorenzo Frattarolo & Dominique Guegan, 2013. "Empirical Projected Copula Process and Conditional Independence an Extended Version," Documents de travail du Centre d'Economie de la Sorbonne 13068, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-22 (All new papers)
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