New estimates and tests of independence in some copula models

Details New estimates and tests of independence in some copula models New estimates and tests of independence in some copula models

2008-06-30

arxiv.org/abs/0806.4864v3

Mathematics

Statistics Theory

Scientific paper

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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