New estimates and tests of independence in semiparametric copula models
Published in Kybernetika, 2010
S. Bouzebda and A. Keziou
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.
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