A New Test Procedure of Independence in Copula Models via χ2-Divergence

DOI10.1080/03610920802645379zbMath1182.62033arXiv0803.1572OpenAlexW1861867015MaRDI QIDQ5190580

Salim Bouzebda, Amor Keziou

Publication date: 18 March 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.1572

zbMATH Keywords

dependence functionsemiparametric estimationasymptotic theorypseudo-likelihoodGumbel copulamultivariate rank statistics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric hypothesis testing (62F03) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistical aspects of information-theoretic topics (62B10)

Related Items

Profile likelihood approaches for semiparametric copula and frailty models for clustered survival data ⋮ Study of semiparametric copula models via divergences with bivariate censored data ⋮ Asymptotic behavior of weighted multivariate Cramér-von Mises-type statistics under contiguous alternatives ⋮ A weighted independence test based on smooth estimation of Kendall distribution ⋮ On the weighted tests of independence based on Bernstein empirical copula ⋮ General tests of conditional independence based on empirical processes indexed by functions ⋮ Dual divergence estimators of the tail index ⋮ Decomposable pseudodistances and applications in statistical estimation ⋮ Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points ⋮ A semiparametric maximum likelihood ratio test for the change point in copula models ⋮ A semiparametric test of independence in copula models for censored data ⋮ General bootstrap for dual \(\phi\)-divergence estimates ⋮ New estimates and tests of independence in some copula models

Cites Work

• Parametric families of multivariate distributions with given margins
• A test of independence in some copula models
• Statistical inference using maximum likelihood estimation and the generalized likelihood ratio when the true parameter is on the boundary of the parameter space
• Asymptotic normality of nonparametric tests for independence
• Asymptotic distributions of multivariate rank order statistics
• Empirical likelihood and general estimating equations
• Weak convergence of empirical copula processes
• Maxima of normal random vectors: Between independence and complete dependence
• On empirical likelihood for semiparametric two-sample density ratio models
• Test of homogeneity in semiparametric two-sample density ratio models
• On assessing the association for bivariate current status data
• Multivariate survival distributions
• One-parameter families of bivariate distributions with fixed marginals
• Uniform representations of bivariate distributions
• Order Statistics of Samples from Multivariate Distributions
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Asymptotic Normality of Nonparametric Tests for Independence
• Semiparametric estimation in copula models