New estimates and tests of independence in some copula models

zbMATH Open1187.62067arXiv0806.4864MaRDI QIDQ3562985FDOQ3562985

Authors: Salim Bouzebda, Amor Keziou 

Publication date: 28 May 2010

Abstract: We introduce new estimates and tests of independence in copula models with unknown margins using $phi$-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 $ch{i}^2$-divergence has good properties in terms of efficiency-robustness.

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

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zbMATH Keywords

boundarysemiparametric inferencecopulasdualitydependence functionmultivariate rank statisticsdivergences

Mathematics Subject Classification ID

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)

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Cited In (24)

• A semiparametric maximum likelihood ratio test for the change point in copula models
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• Asymptotic properties of conditional U -statistics using delta sequences
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• Study of semiparametric copula models via divergences with bivariate censored data
• General tests of conditional independence based on empirical processes indexed by functions

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