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.

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Year of publication:	2013-10
Authors:	Frattarolo, Lorenzo ; Guegan, Dominique
Institutions:	HAL

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Extent:	application/pdf
Series:	Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00881185
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010820403