1. New estimates and tests of independence in semiparametric copula models
- Creator:
- Bouzebda, Salim and Keziou, Amor
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- dependence function, multivariate rank statistics, semiparametric inference, copulas, boundary, divergences, and duality
- Language:
- English
- Description:
- \noindent We introduce new estimates and tests of independence in copula models with unknown margins using ϕ-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 χ2-divergence has good properties in terms of efficiency-robustness.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public