Tests of independence and randomness for arbitrary data using copula-based covariances

DOI10.1016/J.JMVA.2023.105273MaRDI QIDQ6200949zbMATH OpenOpenAlexFDO

Authors Bouchra R. Nasri, Bruno Rémillard

Publication date 25 March 2024

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2301.13259

zbMATH Keywords

independencemultilinear copularandomnessSavages's coefficientSpearman's rhoVan der Waerden's coefficient

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: In this article, we study tests of independence for data with arbitrary distributions in the non-serial case, i.e., for independent and identically distributed random vectors, as well as in the serial case, i.e., for time series. These tests are derived from copula-based covariances and their multivariate extensions using M"obius transforms. We find the asymptotic distributions of these statistics under the null hypothesis of independence or randomness, as well as under contiguous alternatives. This enables us to find out locally most powerful test statistics for some alternatives, whatever the margins. Numerical experiments are performed for Wald's type combinations of these statistics to assess the finite sample performance.

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Cited in

(1)

• Novel tau-informed initialization for maximum likelihood estimation of copulas with discrete margins

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