Weak convergence of empirical copula processes
نویسندگان
چکیده
منابع مشابه
Weak convergence of empirical copula processes indexed by functions
DRAGAN RADULOVIĆ1, MARTEN WEGKAMP2 and YUE ZHAO3 1Department of Mathematics, Florida Atlantic University, 777 Glades Road, Boca Raton, FL 33431, USA. E-mail: [email protected] 2Department of Mathematics and Department of Statistical Science, Cornell University, 432 Malott Hall, Ithaca, NY 14853, USA. E-mail: [email protected] 3Department of Statistical Science, Cornell University, 310 M...
متن کاملWeak Convergence of Stationary Empirical Processes
We offer an umbrella type result which extends the convergence of classical empirical process on the line to more general processes indexed by functions of bounded variation. This extension is not contingent on the type of dependence of the underlying sequence of random variables. As a consequence we establish the weak convergence for stationary empirical processes indexed by general classes of...
متن کاملEmpirical Processes: General Weak Convergence Theory
The lack of measurability of the empirical process with respect to the sigma-field generated by the ‘natural’ l∞ metric, as illustrated in the previous notes, needs an extension of the standard weak convergence theory that can handle situations where the converging stochastic processes may no longer be measurable (though the limit will be a tight Borel measurable random element). Of course, an ...
متن کاملAn elementary proof of the weak convergence of empirical processes
This paper develops a simple technique for proving the weak convergence of a stochastic process Z̄n(g) := ∫ g dZn, indexed by functions g in some class G. The main novelty is a decoupling argument that allows to derive asymptotic equicontinuity of the process {Z̄n(g), g ∈ G} from that of the basic process {Zn(t), t ∈ R}, with Zn(t) = Z̄n(ft) and ft(x) = 1(−∞,t](x). The method leads to novel result...
متن کاملEmpirical and sequential empirical copula processes under serial dependence
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 de...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Bernoulli
سال: 2004
ISSN: 1350-7265
DOI: 10.3150/bj/1099579158