New estimates and tests of independence in semiparametric copula models

Salim Bouzebda; Amor Keziou

Kybernetika (2010)

  • Volume: 46, Issue: 1, page 178-201
  • ISSN: 0023-5954

Abstract

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We introduce new estimates and tests of independence in copula models with unknown margins using φ -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 χ 2 -divergence has good properties in terms of efficiency-robustness.

How to cite

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Bouzebda, Salim, and Keziou, Amor. "New estimates and tests of independence in semiparametric copula models." Kybernetika 46.1 (2010): 178-201. <http://eudml.org/doc/37704>.

@article{Bouzebda2010,
abstract = {We introduce new estimates and tests of independence in copula models with unknown margins using $\phi $-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 $\chi ^2$-divergence has good properties in terms of efficiency-robustness.},
author = {Bouzebda, Salim, Keziou, Amor},
journal = {Kybernetika},
keywords = {dependence function; multivariate rank statistics; semiparametric inference; copulas; boundary; divergences; duality; duality; divergences; copulas; dependence function; multivariate rank statistics; semiparametric inference; boundary},
language = {eng},
number = {1},
pages = {178-201},
publisher = {Institute of Information Theory and Automation AS CR},
title = {New estimates and tests of independence in semiparametric copula models},
url = {http://eudml.org/doc/37704},
volume = {46},
year = {2010},
}

TY - JOUR
AU - Bouzebda, Salim
AU - Keziou, Amor
TI - New estimates and tests of independence in semiparametric copula models
JO - Kybernetika
PY - 2010
PB - Institute of Information Theory and Automation AS CR
VL - 46
IS - 1
SP - 178
EP - 201
AB - We introduce new estimates and tests of independence in copula models with unknown margins using $\phi $-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 $\chi ^2$-divergence has good properties in terms of efficiency-robustness.
LA - eng
KW - dependence function; multivariate rank statistics; semiparametric inference; copulas; boundary; divergences; duality; duality; divergences; copulas; dependence function; multivariate rank statistics; semiparametric inference; boundary
UR - http://eudml.org/doc/37704
ER -

References

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