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Empirical Projected Copula Process and Conditional Independence An Extended Version
Frattarolo, Lorenzo; Guegan, Dominique - HAL - 2013
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. …
Persistent link: https://www.econbiz.de/10011026052
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Extreme values of random or chaotic discretization steps
Garcin, Matthieu; Guegan, Dominique - HAL - 2012
By sorting independent random variables and considering the difference between two consecutive order statistics, we get random variables, called steps or spacings, that are neither independent nor identically distributed. We characterize the probability distribution of the maximum value of these...
Persistent link: https://www.econbiz.de/10010635212