A note on testing independence by a copula-based order selection approach

• Sebastian Kiwitt ^[1] ; Natalie Neumeyer ^[1]
  1. [1] University of Hamburg

     University of Hamburg

     Hamburg, Freie und Hansestadt, Alemania

     
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 22, Nº. 1, 2013, págs. 62-82
• Idioma: inglés
• DOI: 10.1007/s11749-012-0294-2
• Texto completo no disponible (Saber más ...)
• Resumen

  • We suggest a new consistent asymptotically distribution-free test for independence of the components of bivariate random variables. The approach combines methods of order-selection tests with nonparametric copula density estimation. We deduce the asymptotic distribution of the test statistic and investigate the small sample performance by means of a simulation study and a data application.