A new test procedure of independence in Copula models via χ 2 - divergence
نویسنده
چکیده
A new test procedure of independence in Copula models via χ 2 Abstract. We introduce a new test procedure of independence in the framework of para-metric copulas with unknown marginals. The method is based essentially on the dual representation of χ 2-divergence on signed finite measures. The asymptotic properties of the proposed estimate and the test statistic are studied under null and alternative hypothesis, with simple and standard limit distributions both when the parameter is an interior point or not.
منابع مشابه
New estimates and tests of independence in semiparametric copula models
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 or a boundary value of the parameter space. Simulation results show that the choice of χ-divergence has good properties in terms of efficiency-...
متن کاملInformation Measures via Copula Functions
In applications of differential geometry to problems of parametric inference, the notion of divergence is often used to measure the separation between two parametric densities. Among them, in this paper, we will verify measures such as Kullback-Leibler information, J-divergence, Hellinger distance, -Divergence, … and so on. Properties and results related to distance between probability d...
متن کاملEstimation and tests of independence in copula models via divergences
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.
متن کاملNew Estimates and Tests of Independence in Some Copula Models
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.
متن کاملPenalized Bregman Divergence Estimation via Coordinate Descent
Variable selection via penalized estimation is appealing for dimension reduction. For penalized linear regression, Efron, et al. (2004) introduced the LARS algorithm. Recently, the coordinate descent (CD) algorithm was developed by Friedman, et al. (2007) for penalized linear regression and penalized logistic regression and was shown to gain computational superiority. This paper explores...
متن کامل