Empirical and sequential empirical copula processes under serial\n dependence

2011/11/11 by Axel Bücher, Stanislav Volgushev, Bücher, Axel +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistical Methods and Inference #Statistics Theory (math.ST) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1111.2778

openalex publication_date 2011/11/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

The empirical copula process plays a central role for statistical inference\non copulas. Recently, Segers (2011) investigated the asymptotic behavior of\nthis process under non-restrictive smoothness assumptions for the case of\ni.i.d. random variables. In the present paper we extend his main result to the\ncase of serial dependent random variables by means of the powerful and elegant\nfunctional delta method. Moreover, we utilize the functional delta method in\norder to obtain conditional consistency of certain bootstrap procedures.\nFinally, we extend the results to the more general sequential empirical copula\nprocess under serial dependence.\n

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• Copulas for Geostatistical Data: Foundations, Modeling Principles and Statistical Inference

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