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New estimates and tests of independence in semiparametric copula models

Salim Bouzebda; Amor Keziou — 2010

Kybernetika

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.

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