Estimation and tests of independence in copula models via divergences
Published in Comptes Rendus de l Academie des Sciences, Series I, Mathematics, 2009
S. Bouzebda and A. Keziou
We introduce new estimates and tests of independence in copula models with unknown margins using \(\varphi\)-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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