On the covariance of the asymptotic empirical copula process

Conditions are given under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance function than the standard empirical process based on observations from the copula. Illustrations are provided and consequences for inference are outlined.

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Year of publication:	2010
Authors:	Genest, Christian ; Segers, Johan
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 8, p. 1837-1845
Publisher:	Elsevier
Keywords:	Asymptotic variance Copula Dependence parameter Empirical process Independence Left-tail decreasing Rank-based inference

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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