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Kybernetika 44(6):826-845, 2008.

Exact Distribution Under Independence of the Diagonal Section of the Empirical Copula

Arturo Erdely and José M. González-Barrios


Abstract:

In this paper we analyze some properties of the empirical diagonal and we obtain its exact distribution under independence for the two and three-dimensional cases, but the ideas proposed in this paper can be carried out to higher dimensions. The results obtained are useful in designing a nonparametric test for independence, and therefore giving solution to an open problem proposed by Alsina, Frank and Schweizer [2].


Keywords: Archimedean copula; diagonal section; independence;


AMS: 60C05; 62E15; 62H05;


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BIB TeX

@article{kyb:2008:6:826-845,

author = {Erdely, Arturo and Gonz\'{a}lez--Barrios, Jos\'{e} M. },

title = {Exact Distribution Under Independence of the Diagonal Section of the Empirical Copula},

journal = {Kybernetika},

volume = {44},

year = {2008},

number = {6},

pages = {826-845}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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