Statistics
Estimation and tests of independence in copula models via divergences
Comptes Rendus. Mathématique, Volume 347 (2009) no. 11-12, pp. 667-672.

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.

Nous introduisons de nouveaux estimateurs et tests d'indépendance dans des modèles de copule avec des marges inconnues en utilisant les divergences entre copules et la technique de dualité. Nous obtenons les lois asymptotiques, des estimateurs et des statistiques de tests proposés, lorsque le paramètre est un point intérieur ou un point frontière de son domaine.

Received:
Accepted:
Published online:
DOI: 10.1016/j.crma.2009.03.016
Bouzebda, Salim 1; Keziou, Amor 2

1 LSTA-Université Paris 6, 175, rue du Chevaleret, boîte 158, 75013 Paris, France
2 Laboratoire de mathématiques (FRE 3111) CNRS, Université de Reims and LSTA-Université Paris 6, UFR Sciences, Moulin de la Housse, B.P. 1039, 51687 Reims, France
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Bouzebda, Salim; Keziou, Amor. Estimation and tests of independence in copula models via divergences. Comptes Rendus. Mathématique, Volume 347 (2009) no. 11-12, pp. 667-672. doi : 10.1016/j.crma.2009.03.016. http://www.numdam.org/articles/10.1016/j.crma.2009.03.016/

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