New estimates and tests of independence in some copula models
From MaRDI portal
Publication:3562985
boundarysemiparametric inferencecopulasdualitydependence functionmultivariate rank statisticsdivergences
Statistical aspects of information-theoretic topics (62B10) Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of parametric tests (62F05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)
Abstract: We introduce new estimates and tests of independence in copula models with unknown margins using -divergences and the duality technique. The asymptotic laws of the estimates and the test statistics are established both when the parameter is an interior or a boundary value of the parameter space. Simulation results show that the choice of -divergence has good properties in terms of efficiency-robustness.
Recommendations
- A semiparametric test of independence in copula models for censored data
- A test of independence in some copula models
- Estimation and tests of independence in copula models via divergences
- Copula-Based Models for the Power of Independence Tests
- A New Test Procedure of Independence in Copula Models via χ2-Divergence
- Semiparametric estimation in copula models
- Some new copula based distribution-free tests of independence among several random variables
- Semiparametric estimation of conditional copulas
- Comparison of three semiparametric methods for estimating dependence parameters in copula models
- Semiparametric estimation of the parameters of multivariate copulas
Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 4201232 (Why is no real title available?)
- scientific article; zbMATH DE number 3911472 (Why is no real title available?)
- scientific article; zbMATH DE number 4039032 (Why is no real title available?)
- scientific article; zbMATH DE number 4072103 (Why is no real title available?)
- scientific article; zbMATH DE number 3656971 (Why is no real title available?)
- scientific article; zbMATH DE number 3750084 (Why is no real title available?)
- scientific article; zbMATH DE number 3457895 (Why is no real title available?)
- scientific article; zbMATH DE number 3615606 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 946671 (Why is no real title available?)
- scientific article; zbMATH DE number 3365044 (Why is no real title available?)
- A New Test Procedure of Independence in Copula Models via χ2-Divergence
- A multivariate Bahadur-Kiefer representation for the empirical Copula process
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- A test of independence in some copula models
- An introduction to copulas.
- Asymptotic Normality of Nonparametric Tests for Independence
- Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests Under Nonstandard Conditions
- Asymptotic distributions of multivariate rank order statistics
- Asymptotic normality of nonparametric tests for independence
- Bivariate Exponential Distributions
- Dual representation of \(\phi\)-divergences and applications.
- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
- Maxima of normal random vectors: Between independence and complete dependence
- Minimization of φ-divergences on sets of signed measures
- Multivariate survival distributions
- On Divergences and Informations in Statistics and Information Theory
- On assessing the association for bivariate current status data
- On empirical likelihood for semiparametric two-sample density ratio models
- On the distributional transform, Sklar's theorem, and the empirical copula process
- One-parameter families of bivariate distributions with fixed marginals
- Order Statistics of Samples from Multivariate Distributions
- Parametric estimation and tests through divergences and the duality technique
- Parametric families of multivariate distributions with given margins
- Robust Fits for Copula Models
- Semiparametric estimation in copula models
- Statistical inference using maximum likelihood estimation and the generalized likelihood ratio when the true parameter is on the boundary of the parameter space
- The oscillation behavior of empirical processes: The multivariate case
- Unified large-sample theory of general chi-squared statistics for tests of fit
- Uniform representations of bivariate distributions
- Weak convergence of empirical copula processes
Cited in
(24)- General tests of conditional independence based on empirical processes indexed by functions
- Asymptotic behavior of weighted multivariate Cramér-von Mises-type statistics under contiguous alternatives
- A semiparametric maximum likelihood ratio test for the change point in copula models
- Dual divergences estimation for censored survival data
- Decomposable pseudodistances and applications in statistical estimation
- Asymptotic properties of conditional U -statistics using delta sequences
- Conditions for the asymptotic semiparametric efficiency of an omnibus estimator of dependence parameters in copula models
- Tests of independence and randomness based on the empirical copula process
- General bootstrap for dual -divergence estimates
- Generalized mutual-information based independence tests
- Copula-Based Models for the Power of Independence Tests
- Locally most powerful rank tests of independence for copula models
- 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 test of independence in copula models for censored data
- A test of independence in some copula models
- Estimation and tests of independence in copula models via divergences
- Robustness of dual divergence estimators for models satisfying linear constraints
- Empirical likelihood based confidence regions for functional of copulas
- Dual divergence estimators of the tail index
- A New Test Procedure of Independence in Copula Models via χ2-Divergence
- A copula-model based semiparametric interaction test under the case-control design
- Central limit theorems for functional Z -estimators with functional nuisance parameters
- Study of semiparametric copula models via divergences with bivariate censored data
This page was built for publication: New estimates and tests of independence in some copula models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3562985)
