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Subsampling (weighted smooth) empirical copula processes

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  • Kojadinovic, Ivan
  • Stemikovskaya, Kristina

Abstract

A key tool to carry out inference on the unknown copula when modeling a continuous multivariate distribution is a nonparametric estimator known as the empirical copula. One popular way of approximating its sampling distribution consists of using the multiplier bootstrap. The latter is however characterized by a high implementation cost. Given the rank-based nature of the empirical copula, the classical empirical bootstrap of Efron does not appear to be a natural alternative, as it relies on resamples which contain ties. The aim of this work is to investigate the use of subsampling in the aforementioned framework. The latter consists of basing the inference on statistic values computed from subsamples of the initial data. One of its advantages in the rank-based context under consideration is that the formed subsamples do not contain ties. Another advantage is its asymptotic validity under minimalistic conditions. In this work, we show the asymptotic validity of subsampling for several (weighted, smooth) empirical copula processes both in the case of serially independent observations and time series. In the former case, subsampling is observed to be substantially better than the empirical bootstrap and equivalent, overall, to the multiplier bootstrap in terms of finite-sample performance.

Suggested Citation

  • Kojadinovic, Ivan & Stemikovskaya, Kristina, 2019. "Subsampling (weighted smooth) empirical copula processes," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 704-723.
    • Handle: RePEc:eee:jmvana:v:173:y:2019:i:c:p:704-723
    DOI: 10.1016/j.jmva.2019.05.007
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    References listed on IDEAS

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    15. Gudendorf, Gordon & Segers, Johan, 2012. "Nonparametric estimation of multivariate extreme-value copulas," LIDAM Reprints ISBA 2012011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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    3. Bücher Axel & Jaser Miriam & Min Aleksey, 2021. "Detecting departures from meta-ellipticity for multivariate stationary time series," Dependence Modeling, De Gruyter, vol. 9(1), pages 121-140, January.

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