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 $\varphi$-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.

References in corpus (2)

• Minimization of divergences on sets of signed measures
• A new test procedure of independence in copula models via chi-square-divergence