Copula-Based Models for the Power of Independence Tests

DOI10.1080/03610920500313742MaRDI QIDQ5712004zbMATH OpenOpenAlexFDO

Authors Emanuel Vespa, Daniele De Martini

Publication date 22 December 2005

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

Full work available at URL https://doi.org/10.1080/03610920500313742

zbMATH Keywords

dependence modelsefficiencyempirical copulaplug-in power estimationpower functionstrong consistency

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• Locally most powerful rank tests of independence for copula models
• Local power analysis of goodness-of-fit tests for copulas
• Estimation and tests of independence in copula models via divergences
• New estimates and tests of independence in some copula models
• Goodness-of-fit tests for copulas: A review and a power study

Cites work

• Asymptotic efficiency of independence tests based on gini's rank association coefficient, spearman's footrule and their generalizations
• Data-Driven Rank Tests for Independence
• Estimating the Power of the Two-Sample Wilcoxon Test for Location Shift
• scientific article; zbMATH DE number 50740 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• Linear rank tests for independence in bivariate distributions-power comparisons by simulation
• On nonparametric measures of dependence for random variables
• Power estimation for two sample tests using balanced resampling
• The jackknife and bootstrap

Cited in

(13)

• Tests of independence among continuous random vectors based on Cramér-von Mises functionals of the empirical copula process
• Quantile curves and dependence structure for bivariate distributions
• Estimation and tests of independence in copula models via divergences
• Omnibus test for covariate effects in conditional copula models
• Tests of independence and randomness based on the empirical copula process
• Detection of heterogeneous structures on the Gaussian copula model using projective power entropy
• A copula-model based semiparametric interaction test under the case-control design
• Local power analysis of goodness-of-fit tests for copulas
• New estimates and tests of independence in some copula models
• A New Test Procedure of Independence in Copula Models via χ²-Divergence
• Reproducibility probability estimation and testing for the Wilcoxon rank-sum test
• Mixtures of Farlie-Gumbel-Morgenstern copulas
• Locally most powerful rank tests of independence for copula models

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