A note on bootstrap approximations for the empirical copula process

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dc.contributor.authorBücher, Axel
dc.contributor.authorDette, Holger
dc.date.accessioned2009-12-01T14:04:37Z
dc.date.available2009-12-01T14:04:37Z
dc.date.issued2009-12-01T14:04:37Z
dc.description.abstractIt is well known that the empirical copula process converges weakly to a centered Gaussian field. Because the covariance structure of the limiting process depends on the partial derivatives of the unknown copula several bootstrap approximations for the empirical copula process have been proposed in the literature. We present a brief review of these procedures. Because some of these procedures also require the estimation of the derivatives of the unknown copula we propose an alternative approach which circumvents this problem. Finally a simulation study is presented in order to compare the different bootstrap approximations for the empirical copula process.en
dc.identifier.urihttp://hdl.handle.net/2003/26536
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-15798
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823 ; 32/2009
dc.subjectEmpirical copula processen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.subject.rswkBootstrap approximationen
dc.titleA note on bootstrap approximations for the empirical copula processen
dc.typeTextde
dc.type.publicationtypereportde
dcterms.accessRightsopen access

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