Locally most powerful rank tests of independence for copula models

DOI10.1080/10485250500038926zbMath1065.62081OpenAlexW2088444354MaRDI QIDQ5460695

François Verret, Christian Genest

Publication date: 18 July 2005

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485250500038926

zbMATH Keywords

copulapowerasymptotic relative efficiencyKendall's taudependenceSpearman's rhotest of independencelog-rank testPearson's correlationBlest's coefficientSavage statisticvan der Waerden statistic

Mathematics Subject Classification ID

Related Items (21)

Myths About Linear and Monotonic Associations: Pearson’s r, Spearman’s ρ, and Kendall’s τ ⋮ An exchangeable Kendall's tau for clustered data ⋮ A new test of independence for bivariate observations ⋮ Mutual association measures ⋮ A weighted independence test based on smooth estimation of Kendall distribution ⋮ Test of bivariate independence based on angular probability integral transform with emphasis on circular-circular and circular-linear data ⋮ A note on testing independence by a copula-based order selection approach ⋮ Comparison of correlation-based measures of concordance in terms of asymptotic variance ⋮ Tests of independence and randomness for arbitrary data using copula-based covariances ⋮ Copula modeling from Abe Sklar to the present day ⋮ A new rank correlation measure ⋮ Hierarchical clustering of continuous variables based on the empirical copula process and permutation linkages ⋮ Kendall's tau for hierarchical data ⋮ Spearman's footrule and Gini's gamma: a review with complements ⋮ Multivariate extremes of generalized skew-normal distributions ⋮ Bayesian copula selection ⋮ Score tests for independence in semiparametric competing risks models ⋮ A test of independence in some copula models ⋮ Improving the estimation of Kendall's tau when censoring affects only one of the variables ⋮ A chi-square-type test for covariances ⋮ Local efficiency of a Cramér\,-\,von Mises test of independence

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