NEW ESTIMATES AND TESTS OF INDEPENDENCE IN SEMIPARAMETRIC COPULA MODELS

被引：0
|
作者：
Bouzebda, Salim [1 ]
Keziou, Amor [1 ,2 ,3 ]
机构：
[1] Univ Paris 06, LSTA, F-75013 Paris, France
[2] Univ Reims, CNRS, FRE 3111, Math Lab, F-51100 Reims, France
[3] UFR Sci, F-51687 Reims, France
来源：
KYBERNETIKA | 2010年 / 46卷 / 01期
关键词：
dependence function; multivariate rank statistics; semiparametric inference; copulas; boundary; divergences; duality; MULTIVARIATE DISTRIBUTIONS; BIVARIATE DISTRIBUTIONS; ASYMPTOTIC NORMALITY; NONPARAMETRIC TESTS; ORDER-STATISTICS; LIKELIHOOD RATIO; PHI-DIVERGENCES; PARAMETER; FAMILIES; REPRESENTATION;
D O I：
暂无
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
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.
引用
收藏
页码：178 / 201
页数：24
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