New estimates and tests of independence in some copula models
Statistics Theory
2019-03-06 v3 Statistics Theory
Abstract
We introduce new estimates and tests of independence in copula models with unknown margins using -divergences and the duality technique. The asymptotic laws of the estimates and the test statistics are established both when the parameter is an interior or a boundary value of the parameter space. Simulation results show that the choice of -divergence has good properties in terms of efficiency-robustness.
Keywords
Cite
@article{arxiv.0806.4864,
title = {New estimates and tests of independence in some copula models},
author = {Salim Bouzebda and Amor Keziou},
journal= {arXiv preprint arXiv:0806.4864},
year = {2019}
}