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Estimation and tests of independence in copula models via divergences

Abstract : 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 point or not.
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https://hal.inria.fr/inria-00386573
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Submitted on : Friday, May 22, 2009 - 9:03:04 AM
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Salim Bouzebda, Amor Keziou. Estimation and tests of independence in copula models via divergences. 41èmes Journées de Statistique, SFdS, Bordeaux, 2009, Bordeaux, France, France. ⟨inria-00386573⟩

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