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  • 标题:On the asymptotic covariance of the multivariate empirical copula process
  • 本地全文:下载
  • 作者:Christian Genest ; Mhamed Mesfioui ; Johanna G. Nešlehová
  • 期刊名称:Dependence Modeling
  • 电子版ISSN:2300-2298
  • 出版年度:2019
  • 卷号:7
  • 期号:1
  • 页码:279-291
  • DOI:10.1515/demo-2019-0015
  • 出版社:Walter de Gruyter GmbH
  • 摘要: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..
  • 关键词:Empirical copula process ; left;tail decreasing variable;by;variable ; limiting covariance ; rank;based inference ; 60E15 ; 60F17 ; 62G05 ; 62G20 ; 62H05 ; 62H20
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