Autor(en): | Bücher, Axel Volgushev, Stanislav |
Titel: | Empirical and sequential empirical copula processes under serial dependence |
Sprache (ISO): | en |
Zusammenfassung: | The empirical copula process plays a central role for statistical inference on copulas. Recently, Segers (2011) investigated the asymptotic behavior of this process under non-restrictive smoothness assumptions for the case of i.i.d. random variables. In the present paper we extend his main result to the case of serial dependent random variables by means of the powerful and elegant functional delta method. Moreover, we utilize the functional delta method in order to obtain conditional consistency of certain bootstrap procedures. Finally, we extend the results to the more general sequential empirical copula process under serial dependence. |
Schlagwörter: | bootstrap weak dependency weak convergence serial dependence sequential empirical copula process functional delta method empirical copula process |
URI: | http://hdl.handle.net/2003/29195 http://dx.doi.org/10.17877/DE290R-3023 |
Erscheinungsdatum: | 2011-11-21 |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
---|---|---|---|---|
DP_4411_SFB823_Bücher_Volgushev.pdf | DNB | 211.66 kB | Adobe PDF | Öffnen/Anzeigen |
Diese Ressource ist urheberrechtlich geschützt. |
Diese Ressource ist urheberrechtlich geschützt. rightsstatements.org