New estimates and tests of independence in semiparametric copula models

Title:

New estimates and tests of independence in semiparametric copula models

Creator:

Bouzebda, Salim and Keziou, Amor

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:6f46f2e6-b173-4870-aecc-d3b783681720
uuid:6f46f2e6-b173-4870-aecc-d3b783681720

Subject:

dependence function, multivariate rank statistics, semiparametric inference, copulas, boundary, divergences, and duality

Type:

model:article and TEXT

Format:

bez média and svazek

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.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[178]-201

Source:

Kybernetika | 2010 Volume:46 | Number:1

Harvested from:

CDK

Metadata only:

false