Kybernetika 46 no. 1, 178-201, 2010

New estimates and tests of independence in semiparametric copula models

Salim Bouzebda and Amor Keziou


\noindent We introduce new estimates and tests of independence in copula models with unknown margins using $\phi$-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.


duality, divergences, copulas, dependence function, multivariate rank statistics, semiparametric inference, boundary


62F03, 62F10, 62F12, 62H12, 62H15