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Weak convergence of the sequential empirical copula processes under long-range dependence (1801.02364v3)
Published 8 Jan 2018 in math.ST and stat.TH
Abstract: We consider multivariate copula-based stationary time-series under Gaussian subordination. Observed time series are subordinated to long-range dependent Gaussian processes and characterized by arbitrary marginal copula distributions. First of all, we establish limit theorems for the marginal and quantile marginal empirical processes of multivariate stationary long-range dependent sequences under Gaussian subordination. Furthermore, we establish the asymptotic behavior of sequential empirical copula processes under non-restrictive smoothness assumptions. The limiting processes in the case of long-memory sequences are quite different from the cases of of i.i.d. and weakly dependent observations.