New estimates and tests of independence in some copula models

Salim Bouzebda (1) , Amor Keziou (1)

1 LSTA - Laboratoire de Statistique Théorique et Appliquée

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.

Mots clés: Boundary value parameter.; Boundary value parameter; Dependence function; Multivariate rank statistics; Semiparametric inference

Domaines: Théorie [stat.TH]

Salim Bouzebda, Amor Keziou. New estimates and tests of independence in some copula models. Kybernetika, 2010. ⟨hal-00292051⟩