Weak convergence of the empirical copula process is shown to hold under the
assumption that the first-order partial derivatives of the copula exist and are
continuous on certain subsets of the unit hypercube. The assumption is
non-restrictive in the sense that it is needed anyway to ensure that the
candidate limiting process exists and has continuous trajectories. In addition,
resampling methods based on the multiplier central limit theorem, which require
consistent estimation of the first-order derivatives, continue to be valid.
Under certain growth conditions on the second-order partial derivatives that
allow for explosive behavior near the boundaries, the almost sure rate in
Stute's representation of the empirical copula process can be recovered. The
conditions are verified, for instance, in the case of the Gaussian copula with
full-rank correlation matrix, many Archimedean copulas, and many extreme-value
copulas.Comment: Published in at http://dx.doi.org/10.3150/11-BEJ387 the Bernoulli
(http://isi.cbs.nl/bernoulli/) by the International Statistical
Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm
