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On the asymptotic covariance of the multivariate empirical copula process

Author

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  • Genest Christian

    (Department of Mathematics and Statistics, McGill University, 805, rue Sherbrooke ouest, Montréal (Québec) Canada H3A 0B9)

  • Mesfioui Mhamed

    (Département de mathématiques et d’informatique, Université du Québec à Trois-Rivières, C.P. 500, Trois-Rivières (Québec) Canada G9A 5H7)

  • Nešlehová Johanna G.

    (Department of Mathematics and Statistics, McGill University, 805, rue Sherbrooke ouest, Montréal (Québec) Canada H3A 0B9)

Abstract

Genest and Segers (2010) gave conditions under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance than the standard empirical process based on a random sample from the underlying copula. An extension of this result to the multivariate case is provided.

Suggested Citation

  • Genest Christian & Mesfioui Mhamed & Nešlehová Johanna G., 2019. "On the asymptotic covariance of the multivariate empirical copula process," Dependence Modeling, De Gruyter, vol. 7(1), pages 279-291, January.
    • Handle: RePEc:vrs:demode:v:7:y:2019:i:1:p:279-291:n:15
    DOI: 10.1515/demo-2019-0015
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    References listed on IDEAS

    as
    1. Genest, Christian & Nešlehová, Johanna G. & Rémillard, Bruno, 2017. "Asymptotic behavior of the empirical multilinear copula process under broad conditions," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 82-110.
    2. Genest, Christian & Segers, Johan, 2010. "On the covariance of the asymptotic empirical copula process," LIDAM Reprints ISBA 2010038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Alexander J. McNeil & Rüdiger Frey & Paul Embrechts, 2015. "Quantitative Risk Management: Concepts, Techniques and Tools Revised edition," Economics Books, Princeton University Press, edition 2, number 10496.
    4. Genest, Christian & Segers, Johan, 2010. "On the covariance of the asymptotic empirical copula process," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1837-1845, September.
    5. Genest, Christian & Segers, Johan, 2010. "On the covariance of the asymptotic empirical copula process," LIDAM Reprints ISBA 2010017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Charpentier, Arthur & Segers, Johan, 2009. "Tails of multivariate Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1521-1537, August.
    7. Colangelo, Antonio & Scarsini, Marco & Shaked, Moshe, 2005. "Some notions of multivariate positive dependence," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 13-26, August.
    8. Segers, Johan, 2012. "Asymptotics of empirical copula processes under non-restrictive smoothness assumptions," LIDAM Reprints ISBA 2012009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    Full references (including those not matched with items on IDEAS)

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