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Conference Papers Year : 2009

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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Dates and versions

inria-00386573 , version 1 (22-05-2009)

Identifiers

  • HAL Id : inria-00386573 , version 1

Cite

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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