Empirical and sequential empirical copula processes under serial dependence

dc.contributor.author	Bücher, Axel
dc.contributor.author	Volgushev, Stanislav
dc.date.accessioned	2011-11-21T13:18:02Z
dc.date.available	2011-11-21T13:18:02Z
dc.date.issued	2011-11-21
dc.description.abstract	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.	en
dc.identifier.uri	http://hdl.handle.net/2003/29195
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-3023
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;44/2011	en
dc.subject	bootstrap	en
dc.subject	weak dependency	en
dc.subject	weak convergence	en
dc.subject	serial dependence	en
dc.subject	sequential empirical copula process	en
dc.subject	functional delta method	en
dc.subject	empirical copula process	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Empirical and sequential empirical copula processes under serial dependence	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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