Tests of independence and randomness based on the empirical copula process

DOI10.1007/BF02595777zbMATH Open1069.62039OpenAlexW2143512982WikidataQ105583343 ScholiaQ105583343MaRDI QIDQ2387481FDOQ2387481

Authors: Christian Genest, Bruno Rémillard 

Publication date: 5 September 2005

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02595777

Recommendations

• A test of independence in some copula models
• Testing independence based on Bernstein empirical copula and copula density
• Tests of independence among continuous random vectors based on Cramér-von Mises functionals of the empirical copula process
• Copula-Based Models for the Power of Independence Tests
• The Kolmogorov goodness-of-fit test of independence based on copulas
• Estimation and tests of independence in copula models via divergences
• Non-parametric weighted tests for independence based on empirical copula process
• Some new copula based distribution-free tests of independence among several random variables
• Randomization tests of copula symmetry
• New estimates and tests of independence in some copula models

zbMATH Keywords

copulaempirical processpseudo-observationssemi-parametric modelsserial dependencedependogramtests of independenceCramer-von Mises statisticlinear rank statisticsMöbius inversion formula

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Cites Work

• Title not available (Why is that?)
• Distribution Free Tests of Independence Based on the Sample Distribution Function
• An introduction to copulas.
• Title not available (Why is that?)
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• Title not available (Why is that?)
• An asymptotic decomposition for multivariate distribution-free tests of independence
• On Kendall's process
• Tests of Independence for Bivariate Survival Data
• Correlation and dependence
• Title not available (Why is that?)
• The oscillation behavior of empirical processes: The multivariate case
• Title not available (Why is that?)
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• A nonparametric test of serial independence based on the empirical distribution function
• Measures of Dependence and Tests of Independence
• A Nonparametric Test of Independence Between Two Vectors
• Generalized Spectral Tests for Serial Dependence
• Kendall's tau for serial dependence
• Testing for Pairwise Serial Independence Via the Empirical Distribution Function
• Data-Driven Rank Tests for Independence
• TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION
• A nonparametric test of serial independence for time series and residuals
• Title not available (Why is that?)
• LINEAR AND QUADRATIC SERIAL RANK TESTS FOR RANDOMNESS AGAINST SERIAL DEPENDENCE
• Asymptotic Optimality of Fisher's Method of Combining Independent Tests II
• Title not available (Why is that?)
• Chaos, fractals and statistics
• Linear serial rank tests for randomness against ARMA alternatives
• Title not available (Why is that?)
• Tests of serial independence based on Kendall's process
• Tests of Independence in Time Series
• Some blum-kiefer-rosenblatt type tests for the joint independence of variables

Cited In (only showing first 100 items - show all)

• Statistical models and methods for dependence in insurance data
• New two-sample tests based on the integrated empirical copula processes
• Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
• Asymptotic behavior of the empirical multilinear copula process under broad conditions
• On coverage limits and deductibles for SAI loss severities
• Discussion of: Brownian distance covariance
• Local efficiency of a Cramér\,-\,von Mises test of independence
• Asymptotic behavior of weighted multivariate Cramér-von Mises-type statistics under contiguous alternatives
• Hierarchical clustering of continuous variables based on the empirical copula process and permutation linkages
• Spearman's footrule and Gini's gamma: a review with complements
• Goodness-of-fit tests for elliptical and independent copulas through projection pursuit
• A-dependence statistics for mutual and serial independence of categorical variables
• Asymptotic local efficiency of Cramér\,-\,von Mises tests for multivariate independence
• Serial independence tests for innovations of conditional mean and variance models
• Estimating spatial quantile regression with functional coefficients: a robust semiparametric framework
• Quantile spectral processes: asymptotic analysis and inference
• Weighted least-squares inference for multivariate copulas based on dependence coefficients
• Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series
• Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process
• General tests of independence based on empirical processes indexed by functions
• Forecasting time series with multivariate copulas
• Autocopulas: investigating the interdependence structure of stationary time series
• A test when the Fisher information may be infinite, exemplified by a test for marginal independence in extreme value distributions
• Kendall's \(\mathcal W\) reconsidered
• American-style options in jump-diffusion models: estimation and evaluation
• Nonparametric tests of independence between random vectors
• Locally most powerful rank tests of independence for copula models
• The autodependogram: a graphical device to investigate serial dependences
• On the least squares estimation of multiple-regime threshold autoregressive models
• Stat trek. An interview with Christian Genest
• A method for constructing higher-dimensional copulas
• Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman's rho
• On testing for independence between the innovations of several time series
• Semi-parametric copula-based models under non-stationarity
• Generalizing Distance Covariance to Measure and Test Multivariate Mutual Dependence
• Graphical tests of independence for general distributions
• Title not available (Why is that?)
• Testing for Serial Independence: Beyond the Portmanteau Approach
• A Primer on Copulas for Count Data
• Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
• A class of multivariate copulas based on products of bivariate copulas
• Statistical testing of covariate effects in conditional copula models
• On the empirical multilinear copula process for count data
• A review of copula models for economic time series
• Inference for asymptotically independent samples of extremes
• Diagnostic Tests for Innovations of ARMA Models Using Empirical Processes of Residuals
• Tests of serial dependence for multivariate time series with arbitrary distributions
• Copula-based semiparametric models for multivariate time series
• Empirical and sequential empirical copula processes under serial dependence
• A distribution free test to detect general dependence between a response variable and a covariate in the presence of heteroscedastic treatment effects
• A New Test Procedure of Independence in Copula Models via χ²-Divergence
• Empirical copulas for consecutive survival data
• On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data
• On testing equality of pairwise rank correlations in a multivariate random vector
• Title not available (Why is that?)
• Applications and asymptotic power of marginal-free tests of stochastic vectorial independence
• Change detection for uncertain autoregressive dynamic models through nonparametric estimation
• A multivariate version of Hoeffding's phi-square
• Some new multivariate tests of independence
• Multivariate extensions of Spearman's rho and related statistics
• Diagnostic tests for non-causal time series with infinite variance
• Empirical processes for infinite variance autoregressive models
• Testing conditional multivariate rank correlations: the effect of institutional quality on factors influencing competitiveness
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• Tests of independence among continuous random vectors based on Cramér-von Mises functionals of the empirical copula process
• General tests of conditional independence based on empirical processes indexed by functions
• An independence test based on recurrence rates. An empirical study and applications to real data
• Measures of conditional dependence for nonlinearity, asymmetry and beyond
• Stochastic declustering of earthquakes with the spatiotemporal renewal ETAS model
• Conditional independence testing via weighted partial copulas
• Test of bivariate independence based on angular probability integral transform with emphasis on circular-circular and circular-linear data
• Linking the Hoeffding-sobol and Möbius formulas through a decomposition of Kuo, Sloan, Wasilkowski, and Woźniakowski
• On the weighted tests of independence based on Bernstein empirical copula
• IPCW approach for testing independence
• Measurement error correction by exploiting gene-environment independence in family-based case control studies
• Optimal detection of weak positive latent dependence between two sequences of multiple tests
• Testing semiparametric model-equivalence hypotheses based on the characteristic function
• Spearman's footrule and Gini's gamma: local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta
• On the distribution of Gini’s rank association index
• Testing independence based on Bernstein empirical copula and copula density
• Independence tests for continuous random variables based on the longest increasing subsequence
• Empirical process of concomitants for partly categorial data and applications in statistics
• Independent block identification in multivariate time series
• Weak convergence of the weighted empirical beta copula process
• Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
• Kernel-based measures of association
• A random walk through Canadian contributions on empirical processes and their applications in probability and statistics
• Stochastic hyperplane-based ranks and their use in multivariate portmanteau tests
• A Bayesian semiparametric Gaussian copula approach to a multivariate normality test
• On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
• Testing for independence in high dimensions based on empirical copulas
• Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions
• Copula modeling from Abe Sklar to the present day
• Tests of independence and randomness for arbitrary data using copula-based covariances
• The weighted characteristic function of the multivariate PIT: independence and goodness-of-fit tests
• Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
• GSH Dependence Modeling with an Application to Risk Management
• An independence test based on recurrence rates
• A note on testing independence by a copula-based order selection approach
• New non-parametric tests for independence

This page was built for publication: Tests of independence and randomness based on the empirical copula process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2387481)