New estimates and tests of independence in some copula models

Salim Bouzebda; Amor Keziou

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arXiv · 0806.4864

New estimates and tests of independence in some copula models

Salim Bouzebda·Amor Keziou

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Abstract

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.

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Salim Bouzebda, Amor Keziou. 2008-06-30. New estimates and tests of independence in some copula models. https://arxiv.org/abs/0806.4864

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