A New Test Procedure of Independence in Copula Models via χ2-Divergence

DOI10.1080/03610920802645379zbMath1182.62033arXiv0803.1572MaRDI QIDQ5190580

Salim Bouzebda, Amor Keziou

Publication date: 18 March 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.1572

zbMATH Keywords

dependence function; semiparametric estimation; asymptotic theory; pseudo-likelihood; Gumbel copula; multivariate rank statistics

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62F03: Parametric hypothesis testing

62G05: Nonparametric estimation

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62B10: Statistical aspects of information-theoretic topics

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