A Small-Sample Nonparametric Independence Test for the Archimedean Family of Bivariate Copulas

被引：0

作者：

Erdely, Arturo ^{[1
]}

Gonzalez-Barrios, Jose M. ^{[2
]}

机构：

[1] Univ Anahuac Mexico, Escuela Actuaria, Huixquilucan, Mexico

[2] Univ Nacl Autonoma Mexico, Inst Invest Matemat Aplicadas & Sist, Dept Probabil & Estadistica, Mexico City, DF, Mexico

来源：

SOFT METHODS FOR HANDLING VARIABILITY AND IMPRECISION | 2008年 / 48卷

关键词：

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we study the problem of independence of two continuous random variables using the fact that there exists a unique copula that characterizes independence, and that such copula is of Archimedean type. We use properties of the empirical diagonal to build nonparametric independence tests for small samples, under the assumption that the underlying copula belongs to the Archimedean family, giving solution to an open problem proposed by Alsina et al. [2].

引用

页码：118 / +

页数：3

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