Title: Conditional empirical copula processes and generalized measures of association
Authors: Alexis Derumigny - Delft University of Technology (Netherlands) [presenting]
Jean-David Fermanian - Ensae-Crest (France)
Abstract: The purpose is to study the weak convergence of conditional empirical copula processes, when the conditioning event has a nonzero probability. The validity of several bootstrap schemes is stated, including the exchangeable bootstrap. We define general - possibly conditional - multivariate measures of association and their estimators. By applying our theoretical results, we prove the asymptotic normality of some estimators of such measures. We illustrate our results with financial data.