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Conditional empirical copula processes and generalized dependence measures

08/21/2020

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by Alexis Derumigny, et al.

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We study the weak convergence of conditional empirical copula processes, when the conditioning event has a nonzero probability. The validity of several bootstrap schemes is stated, including the exchangeable bootstrap. We define general - possibly conditional - multivariate dependence measures and their estimators. By applying our theoretical results, we prove the asymptotic normality of some estimators of such dependence measures.

Alexis Derumigny
14 publications
Jean-David Fermanian
9 publications

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