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.
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@article{CRMATH_2009__347_11-12_667_0, author = {Bouzebda, Salim and Keziou, Amor}, title = {Estimation and tests of independence in copula models via divergences}, journal = {Comptes Rendus. Math\'ematique}, pages = {667--672}, publisher = {Elsevier}, volume = {347}, number = {11-12}, year = {2009}, doi = {10.1016/j.crma.2009.03.016}, language = {en}, url = {http://www.numdam.org/articles/10.1016/j.crma.2009.03.016/} }
TY - JOUR AU - Bouzebda, Salim AU - Keziou, Amor TI - Estimation and tests of independence in copula models via divergences JO - Comptes Rendus. Mathématique PY - 2009 SP - 667 EP - 672 VL - 347 IS - 11-12 PB - Elsevier UR - http://www.numdam.org/articles/10.1016/j.crma.2009.03.016/ DO - 10.1016/j.crma.2009.03.016 LA - en ID - CRMATH_2009__347_11-12_667_0 ER -
%0 Journal Article %A Bouzebda, Salim %A Keziou, Amor %T Estimation and tests of independence in copula models via divergences %J Comptes Rendus. Mathématique %D 2009 %P 667-672 %V 347 %N 11-12 %I Elsevier %U http://www.numdam.org/articles/10.1016/j.crma.2009.03.016/ %R 10.1016/j.crma.2009.03.016 %G en %F CRMATH_2009__347_11-12_667_0
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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