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November 2017 Weak convergence of empirical copula processes indexed by functions
Dragan Radulović, Marten Wegkamp, Yue Zhao
Bernoulli 23(4B): 3346-3384 (November 2017). DOI: 10.3150/16-BEJ849

Abstract

Weak convergence of the empirical copula process indexed by a class of functions is established. Two scenarios are considered in which either some smoothness of these functions or smoothness of the underlying copula function is required.

A novel integration by parts formula for multivariate, right-continuous functions of bounded variation, which is perhaps of independent interest, is proved. It is a key ingredient in proving weak convergence of a general empirical process indexed by functions of bounded variation.

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Dragan Radulović. Marten Wegkamp. Yue Zhao. "Weak convergence of empirical copula processes indexed by functions." Bernoulli 23 (4B) 3346 - 3384, November 2017. https://doi.org/10.3150/16-BEJ849

Information

Received: 1 June 2015; Revised: 1 March 2016; Published: November 2017
First available in Project Euclid: 23 May 2017

zbMATH: 06778289
MathSciNet: MR3654809
Digital Object Identifier: 10.3150/16-BEJ849

Rights: Copyright © 2017 Bernoulli Society for Mathematical Statistics and Probability

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Vol.23 • No. 4B • November 2017
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