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math.ST2007★ 98 cited
Asymptotic local efficiency of Cramér--von Mises tests for multivariate independence
Christian Genest, Jean-François Quessy, Bruno Rémillard
Deheuvels [J. Multivariate Anal. 11 (1981) 102--113] and Genest and Rémillard [Test 13 (2004) 335--369] have shown that powerful rank tests of multivariate independence can be base…
math.PR2007
Malliavin calculus and Clark-Ocone formula for functionals of a square-integrable Lévy process
Jean-François Renaud, Bruno Rémillard
In this paper, we construct a Malliavin derivative for functionals of square-integrable Lévy processes and derive a Clark-Ocone formula. The Malliavin derivative is defined via cha…