A note on bootstrap approximations for the empirical copula process
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.
Year of publication: |
2010
|
---|---|
Authors: | Bücher, Axel ; Dette, Holger |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 23-24, p. 1925-1932
|
Publisher: |
Elsevier |
Keywords: | Copula Bootstrap Empirical process Multiplier bootstrap |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Some comments on goodness-of-fit tests for the parametric form of the copula based on L2-distances
Bücher, Axel, (2010)
-
Testing model assumptions in functional regression models
Bücher, Axel, (2011)
-
Bücher, Axel, (2018)
- More ...