Conditional empirical copula processes and generalized dependence measures

Alexis Derumigny; Jean-David Fermanian

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arXiv · 2008.09480

Conditional empirical copula processes and generalized dependence measures

Alexis Derumigny·Jean-David Fermanian

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Abstract

We study the weak convergence of conditional empirical copula processes, when the conditioning event has a nonzero probability. The validity of several bootstrap schemes is stated, including the exchangeable bootstrap. We define general - possibly conditional - multivariate dependence measures and their estimators. By applying our theoretical results, we prove the asymptotic normality of some estimators of such dependence measures.

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Alexis Derumigny, Jean-David Fermanian. 2020-08-21. Conditional empirical copula processes and generalized dependence measures. https://arxiv.org/abs/2008.09480

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