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:	Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
Subject:	Conditional independence \| empirical process \| weak convergence \| copula

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Extent:	application/pdf
Series:	Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X.
Type of publication:	Book / Working Paper
Notes:	20 pages
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; C10 - Econometric and Statistical Methods: General. General ; C40 - Econometric and Statistical Methods: Special Topics. General ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010703394