Estimation and inference for dependence in multivariate data

Olha Bodnar, Taras Bodnar and Arjun K. Gupta

Journal of Multivariate Analysis, 2010, vol. 101, issue 4, 869-881

Abstract: In this paper, a new measure of dependence is proposed. Our approach is based on transforming univariate data to the space where the marginal distributions are normally distributed and then, using the inverse transformation to obtain the distribution function in the original space. The pseudo-maximum likelihood method and the two-stage maximum likelihood approach are used to estimate the unknown parameters. It is shown that the estimated parameters are asymptotical normally distributed in both cases. Inference procedures for testing the independence are also studied.

Keywords: Multivariate; non-normal; distribution; Multivariate; copula; Gaussian; copula; Correlation; matrix; Estimation; and; inference; procedure; Pseudo-maximum; likelihood; method; Test; of; independence (search for similar items in EconPapers)
Date: 2010
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