Testing Independence Based on Bernstein Empirical Copula and Copula Density
نویسندگان
چکیده
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, we study the asymptotic distribution of each of our tests. Finally, we consider a Monte Carlo experiment to investigate the performance of the tests. In particular, we examine their size and power that we compare with those of the classical nonparametric tests that are based on the empirical distribution.
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