Geodesic
New estimates and tests of independence in semiparametric copula models
Kybernetika, Tome 46 (2010) no. 1, pp. 178-201

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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.
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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     author = {Bouzebda, Salim and Keziou, Amor},
     title = {New estimates and tests of independence in semiparametric copula models},
     journal = {Kybernetika},
     pages = {178--201},
     publisher = {mathdoc},
     volume = {46},
     number = {1},
     year = {2010},
     mrnumber = {2666901},
     zbl = {1187.62067},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2010__46_1_a10/}
}
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Bouzebda, Salim; Keziou, Amor. New estimates and tests of independence in semiparametric copula models. Kybernetika, Tome 46 (2010) no. 1, pp. 178-201. http://geodesic.mathdoc.fr/item/KYB_2010__46_1_a10/