New estimates and tests of independence in semiparametric copula models

Bouzebda, Salim   ; Keziou, Amor

Kybernetika, Tome 46 (2010) no. 1, pp. 178-201

Abstract (VO)

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 $\chi^2$-divergence has good properties in terms of efficiency-robustness.

Détail

Classification : 62F03, 62F10, 62F12, 62G05, 62G10, 62H05, 62H12, 62H15
Keywords: dependence function; multivariate rank statistics; semiparametric inference; copulas; boundary; divergences; duality

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