On the asymptotic covariance of the multivariate empirical copula process

Abstract

Genest and Segers (2010) gave conditions under which the empirical copula process associated with a random sample from a bivariate continuous distribution has a smaller asymptotic covariance than the standard empirical process based on a random sample from the underlying copula. An extension of this result to the multivariate case is provided.

Keywords

• empirical copula process
• left-tail decreasing variable-by-variable
• limiting covariance
• rank-based inference
• 60e15
• 60f17
• 62g05
• 62g20
• 62h05
• 62h20