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

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

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Year of publication:	2013
Authors:	Kiwitt, Sebastian ; Neumeyer, Natalie
Published in:	TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. - Springer. - Vol. 22.2013, 1, p. 62-82
Publisher:	Springer
Subject:	Copula estimation \| Marginal distributions \| Test for independence \| Orthogonal series estimation \| Order-selection test \| Null-effect hypothesis

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010994260