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

Sebastian Kiwitt and Natalie Neumeyer ()

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2013, vol. 22, issue 1, 62-82

Abstract: 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. Copyright Sociedad de Estadística e Investigación Operativa 2013

Keywords: Copula estimation; Marginal distributions; Test for independence; Orthogonal series estimation; Order-selection test; Null-effect hypothesis; 62G10; 62G07 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:testjl:v:22:y:2013:i:1:p:62-82

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DOI: 10.1007/s11749-012-0294-2

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