Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152742 | Statistics & Probability Letters | 2010 | 8 Pages |
Abstract
It is well known that the empirical copula process converges weakly to a centered Gaussian field. Because the covariance structure of the limiting process depends on the partial derivatives of the unknown copula several bootstrap approximations for the empirical copula process have been proposed in the literature. We present a brief review of these procedures. Because some of these procedures also require the estimation of the derivatives of the unknown copula we propose an alternative approach which circumvents this problem. Finally a simulation study is presented in order to compare the different bootstrap approximations for the empirical copula process.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Axel Bücher, Holger Dette,