Exact distribution under independence of the diagonal section of the empirical copula

Title:

Exact distribution under independence of the diagonal section of the empirical copula

Creator:

Erdely, Arturo and González-Barrios, José M.

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:9a50bb56-eb7b-40b5-8e32-aa12219b870a
uuid:9a50bb56-eb7b-40b5-8e32-aa12219b870a

Subject:

Archimedean copula, diagonal section, and independence

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

In this paper we analyze some properties of the empirical diagonal and we obtain its exact distribution under independence for the two and three-dimensional cases, but the ideas proposed in this paper can be carried out to higher dimensions. The results obtained are useful in designing a nonparametric test for independence, and therefore giving solution to an open problem proposed by Alsina, Frank and Schweizer [2].

Language:

English

Rights:

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

Coverage:

[826]-845

Source:

Kybernetika | 2008 Volume:44 | Number:6

Harvested from:

CDK

Metadata only:

false