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On the covariance of the asymptotic empirical copula process
- Source :
-
Journal of Multivariate Analysis . Sep2010, Vol. 101 Issue 8, p1837-1845. 9p. - Publication Year :
- 2010
-
Abstract
- Abstract: Conditions are given under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance function than the standard empirical process based on observations from the copula. Illustrations are provided and consequences for inference are outlined. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 0047259X
- Volume :
- 101
- Issue :
- 8
- Database :
- Academic Search Index
- Journal :
- Journal of Multivariate Analysis
- Publication Type :
- Academic Journal
- Accession number :
- 50982121
- Full Text :
- https://doi.org/10.1016/j.jmva.2010.03.018