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Empirical Projected Copula Process and Conditional Independence An Extended Version

Author

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  • Lorenzo Frattarolo

    () (CES - Centre d'économie de la Sorbonne - CNRS - Centre National de la Recherche Scientifique - UP1 - Université Panthéon-Sorbonne, Università Ca' Foscari of Venice - Department of Economics)

  • Dominique Guegan

    () (CES - Centre d'économie de la Sorbonne - CNRS - Centre National de la Recherche Scientifique - UP1 - Université 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.

Suggested Citation

  • Lorenzo Frattarolo & Dominique Guegan, 2013. "Empirical Projected Copula Process and Conditional Independence An Extended Version," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00881185, HAL.
  • Handle: RePEc:hal:cesptp:halshs-00881185
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00881185
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    References listed on IDEAS

    as
    1. 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.
    2. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
    3. 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.
    4. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 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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    More about this item

    Keywords

    Conditional independence; empirical process; weak convergence; copula; Indépendance conditionnelle; processus empiriques; convergence faible; copule;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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