Empirical Projected Copula Process and Conditional Independence An Extended Version
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.
|Date of creation:||Oct 2013|
|Publication status:||Published in Documents de travail du Centre d'Economie de la Sorbonne 2013.68 - ISSN : 1955-611X. 2013|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00881185|
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- 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.
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
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