Non-parametric weighted tests for independence based on empirical copula process
نویسندگان
چکیده
منابع مشابه
Tests of Independence and Randomness Based on the Empirical Copula Process
Deheuvels (1981a) described a decomposition of the empirical copula process into a finite number of asymptotically mutually independent sub-processes whose joint limiting distribution is tractable under the hypothesis that a multivariate distribution is equal to the product of its margins. It is proved here that this result can be extended to the serial case and that the limiting processes have...
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In this paper we provide three nonparametric tests of independence between continuous random variables based on Bernstein copula and copula density. The first test is constructed based on functional of Cramér-von Mises of the Bernstein empirical copula. The two other tests are based on Bernstein density copula and use Cramér-von Mises and Kullback-Leiber divergencetype respectively. Furthermore...
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A decomposition of the independence empirical copula process into a finite number of asymptotically independent sub-processes was studied by Deheuvels. Starting from this decomposition, Genest and Rémillard recently investigated tests of independence among random variables based on Cramér-von Mises statistics derived from the sub-processes. A generalization of Deheuvels’ decomposition to the ca...
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The so-called independent component (IC) model states that the observed p-vector X is generated via X = ΛZ + μ, where μ is a pvector, Λ is an invertible matrix, and the centered random vector Z has independent marginals Zi. We consider the problem of testing, on the basis of n i.i.d. copies of X = (X,X), the null hypothesis under which the multivariate marginals X and X are independent. Under a...
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It is well known that the empirical copula process converges weakly to a centered Gaussian field. Because the covariance structure of the limiting process depends on the partial derivatives of the unknown copula several bootstrap approximations for the empirical copula process have been proposed in the literature. We present a brief review of these procedures. Because some of these procedures a...
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ژورنال
عنوان ژورنال: Journal of Statistical Computation and Simulation
سال: 2015
ISSN: 0094-9655,1563-5163
DOI: 10.1080/00949655.2014.995657