Estimation and tests of independence in copula models via divergences

DOI10.1016/j.crma.2009.03.016zbMath1162.62322OpenAlexW2085032131MaRDI QIDQ1022309

Salim Bouzebda, Amor Keziou

Publication date: 10 June 2009

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/inria-00386573/file/p19.pdf

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Statistical aspects of information-theoretic topics (62B10) Asymptotic properties of parametric tests (62F05)

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Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points ⋮ A semiparametric maximum likelihood ratio test for the change point in copula models

Cites Work

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• On assessing the association for bivariate current status data
• Multivariate survival distributions
• Minimization of φ-divergences on sets of signed measures
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Semiparametric estimation in copula models

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