New estimates and tests of independence in some copula models

zbMath1187.62067arXiv0806.4864MaRDI QIDQ3562985

Amor Keziou, Salim Bouzebda

Publication date: 28 May 2010

Full work available at URL: https://arxiv.org/abs/0806.4864

zbMATH Keywords

copulasdependence functiondualityboundarysemiparametric inferencemultivariate rank statisticsdivergences

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05) Hypothesis testing in multivariate analysis (62H15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistical aspects of information-theoretic topics (62B10) Asymptotic properties of parametric tests (62F05)

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Robustness of dual divergence estimators for models satisfying linear constraints, Study of semiparametric copula models via divergences with bivariate censored data, Asymptotic behavior of weighted multivariate Cramér-von Mises-type statistics under contiguous alternatives, Dual divergences estimation for censored survival data, General tests of conditional independence based on empirical processes indexed by functions, Dual divergence estimators of the tail index, Decomposable pseudodistances and applications in statistical estimation, Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points, On Bayesian estimation via divergences, A semiparametric maximum likelihood ratio test for the change point in copula models, General bootstrap for dual \(\phi\)-divergence estimates

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