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Article Dans Une Revue Statistical Inference for Stochastic Processes Année : 2009

An empirical central limit theorem with applications to copulas under weak dependence

Résumé

We state a multidimensional Empirical Central Limit Theorem for weakly dependent random vectors. We get weak convergence of the empirical copula processes and of its empirical version. The fidi of the smoothed copula densities is also proved and goodness of fit test are derived.

Dates et versions

hal-00267620 , version 1 (27-03-2008)

Identifiants

Citer

Paul Doukhan, Jean-David Fermanian, Gabriel Lang. An empirical central limit theorem with applications to copulas under weak dependence. Statistical Inference for Stochastic Processes, 2009, 12 (1), pp.65-87. ⟨10.1007/s11203-008-9026-3⟩. ⟨hal-00267620⟩
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