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Some applications of the strong approximation of the integrated empirical copula processes
Mathematical Methods of Statistics Pub Date : 2016-12-28 , DOI: 10.3103/s1066530716040037
S. Bouzebda

The purpose of the present paper is to provide a strong invariance principle for the integrated empirical copula process [introduced in a series of papers by Henze and Nikitin in the univariate setting] with the rate of the approximation for multivariate empirical processes. The applications discussed here are change-point detection in multivariate copula models and the integrated empirical copula process with estimated parameter. Finally, a general notion of bootstrapped integrated empirical copula process, constructed by exchangeably weighting sample, is presented.

中文翻译:

积分经验copula过程的强逼近的一些应用

本文的目的是为综合经验语系过程(由Henze和Nikitin在单变量设置中的一系列论文中介绍)提供一个强大的不变性原理,并采用多元经验过程的近似率。这里讨论的应用是多变量copula模型中的变化点检测以及带有估计参数的集成经验copula过程。最后,提出了可交换加权样本构成的自举式综合经验copula过程的一般概念。
更新日期:2016-12-28
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