Exact distribution under independence of the diagonal section of the empirical copula

Arturo Erdely; José M. González–Barrios

Kybernetika (2008)

  • Volume: 44, Issue: 6, page 826-845
  • ISSN: 0023-5954

Abstract

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In this paper we analyze some properties of the empirical diagonal and we obtain its exact distribution under independence for the two and three- dimensional cases, but the ideas proposed in this paper can be carried out to higher dimensions. The results obtained are useful in designing a nonparametric test for independence, and therefore giving solution to an open problem proposed by Alsina, Frank and Schweizer [2].

How to cite

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Erdely, Arturo, and González–Barrios, José M.. "Exact distribution under independence of the diagonal section of the empirical copula." Kybernetika 44.6 (2008): 826-845. <http://eudml.org/doc/33968>.

@article{Erdely2008,
abstract = {In this paper we analyze some properties of the empirical diagonal and we obtain its exact distribution under independence for the two and three- dimensional cases, but the ideas proposed in this paper can be carried out to higher dimensions. The results obtained are useful in designing a nonparametric test for independence, and therefore giving solution to an open problem proposed by Alsina, Frank and Schweizer [2].},
author = {Erdely, Arturo, González–Barrios, José M.},
journal = {Kybernetika},
keywords = {Archimedean copula; diagonal section; independence; Archimedean copula; diagonal section; independence},
language = {eng},
number = {6},
pages = {826-845},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Exact distribution under independence of the diagonal section of the empirical copula},
url = {http://eudml.org/doc/33968},
volume = {44},
year = {2008},
}

TY - JOUR
AU - Erdely, Arturo
AU - González–Barrios, José M.
TI - Exact distribution under independence of the diagonal section of the empirical copula
JO - Kybernetika
PY - 2008
PB - Institute of Information Theory and Automation AS CR
VL - 44
IS - 6
SP - 826
EP - 845
AB - In this paper we analyze some properties of the empirical diagonal and we obtain its exact distribution under independence for the two and three- dimensional cases, but the ideas proposed in this paper can be carried out to higher dimensions. The results obtained are useful in designing a nonparametric test for independence, and therefore giving solution to an open problem proposed by Alsina, Frank and Schweizer [2].
LA - eng
KW - Archimedean copula; diagonal section; independence; Archimedean copula; diagonal section; independence
UR - http://eudml.org/doc/33968
ER -

References

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