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Empirical Projected Copula Process and Conditional Independence An Extended Version

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  • Lorenzo Frattarolo

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, Università Ca' Foscari of Venice - Department of Economics)

  • Dominique Guegan

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

Abstract

Conditional 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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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00881185.

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Date of creation: Oct 2013
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Handle: RePEc:hal:cesptp:halshs-00881185

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Keywords: Conditional independence; empirical process; weak convergence; copula;

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  1. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
  2. Bücher, Axel & Dette, Holger, 2010. "A note on bootstrap approximations for the empirical copula process," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1925-1932, December.
  3. Halbert White & Xun Lu, 2010. "Granger Causality and Dynamic Structural Systems," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(2), pages 193-243, spring.
  4. repec:cup:cbooks:9780521496032 is not listed on IDEAS
  5. repec:taf:jnlbes:v:30:y:2012:i:2:p:275-287 is not listed on IDEAS
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