Name
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 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. |
Year | Venue | Keywords |
|---|---|---|
2010 | KYBERNETIKA | dependence function,multivariate rank statistics,semiparametric inference,copulas,boundary,divergences,duality |
DocType | Volume | Issue |
Journal | 46 | 1 |
ISSN | Citations | PageRank |
0023-5954 | 1 | 0.42 |
References | Authors | |
3 | 2 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Salim Bouzebda | 1 | 1 | 1.10 |
| Amor Keziou | 2 | 31 | 5.57 |