A new test procedure of independence in copula models via chi-square-divergence

Details A new test procedure of independence in copula models via chi-square-divergence A new test procedure of independence in copula models via chi-square-divergence

2008-03-11

arxiv.org/abs/0803.1572v2

Mathematics

Statistics Theory

23 pages (2 figures). Submitted to publication

Scientific paper

We introduce a new test procedure of independence in the framework of parametric copulas with unknown marginals. The method is based essentially on the dual representation of $\chi^2$-divergence on signed finite measures. The asymptotic properties of the proposed estimate and the test statistic are studied under the null and alternative hypotheses, with simple and standard limit distributions both when the parameter is an interior point or not.

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