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Empirical and Sequential Empirical Copula Processes under Serial Dependence and Weak Smoothness Conditions

Banff International Research Station for Mathematical Innovation and Discovery

The empirical copula process plays a central role for statistical inference on copulas. The main purpose of this talk is to give an overview of recent results on the asymptotic properties of this process. In the first part of the talk, we focus on process convergence with respect to the supremum norm. We also briefly discuss properties of sequential copula processes. It is known that in some interesting examples, weak convergence of the copula process with respect to the supremum norm does not hold. In the second part of the talk, we introduce a new metric that allows to handle most of those cases. Joint work with Axel Buecher and Johan Segers.

Mathematics; Statistics; Probability theory and stochastic processes

video/mp4

Author affiliation: Ruhr-Universitaet Bochum

2014-10-02

Attribution-NonCommercial-NoDerivs 2.5 Canada

http://hdl.handle.net/2429/50545

Unreviewed

http://creativecommons.org/licenses/by-nc-nd/2.5/ca/