Tests of independence among continuous random vectors based on Cramér-von Mises functionals of the empirical copula process

DOI10.1016/j.jmva.2008.10.013zbMath1159.62033OpenAlexW1965817835MaRDI QIDQ1012532

Ivan Kojadinovic, Mark P. Holmes

Publication date: 21 April 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.10.013

zbMATH Keywords

bootstrappermutationempirical processCramér-von Mises statisticMöbius decomposition

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15) Nonparametric statistical resampling methods (62G09)

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Uses Software

• copula
• copula
• IndependenceTests

Cites Work

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• On a likelihood ratio test for independence
• An introduction to copulas.
• Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process
• Asymptotic local efficiency of Cramér\,-\,von Mises tests for multivariate independence
• An asymptotic decomposition for multivariate distribution-free tests of independence
• Weak convergence of empirical copula processes
• Weak convergence and empirical processes. With applications to statistics
• Tests of independence and randomness based on the empirical copula process
• Introduction to empirical processes and semiparametric inference
• Nonparametric tests of independence between random vectors
• Some blum-kiefer-rosenblatt type tests for the joint independence of variables
• On the Independence of k Sets of Normally Distributed Statistical Variables
• Distribution Free Tests of Independence Based on the Sample Distribution Function
• Semiparametric estimation in copula models
• [https://portal.mardi4nfdi.de/wiki/Publication:5731810 On the foundations of combinatorial theory I. Theory of M�bius Functions]
• Multivariate Nonparametric Tests of Independence
• A nonparametric test of serial independence for time series and residuals

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