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On the asymptotic covariance of the multivariate empirical copula process
2019
Dependence Modeling
Preserved Fulltext
Genest and Segers (2010) gave conditions under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance than the standard empirical process based on a random sample from the underlying copula. An extension of this result to the multivariate case is provided.
doi:10.1515/demo-2019-0015
fatcat:mqp3qkllpvhorcjbmh6cgnx5ce