Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Berghaus, Betina | - |
dc.contributor.author | Bücher, Axel | - |
dc.contributor.author | Volgushev, Stanislav | - |
dc.date.accessioned | 2014-11-25T11:28:37Z | - |
dc.date.available | 2014-11-25T11:28:37Z | - |
dc.date.issued | 2014 | - |
dc.identifier.uri | http://hdl.handle.net/2003/33701 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-6729 | - |
dc.description.abstract | The empirical copula process plays a central role in the asymptotic analysis of many statistical procedures which are based on copulas or ranks. Among other applications, results regarding its weak convergence can be used to develop asymptotic theory for estimators of dependence measures or copula densities, they allow to derive tests for stochastic independence or specific copula structures, or they may serve as a fundamental tool for the analysis of multivariate rank statistics. In the present paper, we establish weak convergence of the empirical copula process (for observations that are allowed to be serially dependent) with respect to weighted supremum distances. The usefulness of our results is illustrated by applications to general bivariate rank statistics and to estimation procedures for the Pickands dependence function arising in multivariate extreme-value theory. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;38/2014 | - |
dc.subject | empirical copula process | en |
dc.subject | Pickands dependence function | en |
dc.subject | bivariate rank statistics | en |
dc.subject | strongly mixing | en |
dc.subject | weighted weak convergence | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Weak convergence of the empirical copula process with respect to weighted metrics | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
DP_3814_Berghaus_Bücher_Volgushev.pdf | DNB | 538.34 kB | Adobe PDF | View/Open |
This item is protected by original copyright |
This item is protected by original copyright
rightsstatements.org