Weak convergence of empirical copula processes indexed by functions

2014/10/15 by Dragan Radulović, Dragan Radulovic, Radulovic, Dragan +4
Economics, Econometrics and Finance · Engineering · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Reservoir Engineering and Simulation Methods #Statistical Methods and Inference #Statistics Theory (math.ST) #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.1410.4150

openalex publication_date 2014/10/15 · arxiv created 2015/06/16 · arxiv updated 2015/06/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Weak convergence of the empirical copula process indexed by a class of functions is established. Two scenarios are considered in which either some smoothness of these functions or smoothness of the underlying copula function is required. A novel integration by parts formula for multivariate, right continuous functions of bounded variation, which is perhaps of independent interest, is proved. It is a key ingredient in proving weak convergence of a general empirical process indexed by functions of bounded variation.

Citations

• Weak convergence of the empirical copula process with respect to weighted metrics

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