New Estimates and Tests of Independence in Some Copula Models

Abstract

We introduce new estimates and tests of independence in copula models with unknown margins using φ-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.

Cite this paper

@inproceedings{Bouzebda2008NewEA, title={New Estimates and Tests of Independence in Some Copula Models}, author={Salim Bouzebda}, year={2008} }