Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/120865
Authors: 
Mangold, Benedikt
Year of Publication: 
2015
Series/Report no.: 
IWQW Discussion Paper Series 10/2015
Abstract: 
This paper generalizes the locally optimal linear rank test based on copula from Shirahata (1974) resp. Guillén and Isabel (1998) and Genest et al. (2006) to p dimensions and introduces a new X2-type test for global independence (Nelsen test). The test is compared to similar nonparametric tests by means of the power under several alternatives and sample sizes. However, the actual strength of the Nelsen test is the fast examination of a test decision due to the closed form expression of the asymptotic distribution of the test statistic which is provided by this paper.
Subjects: 
Multivariate linear rank test
Copula
Multiparametric copula
Test of independence
Dependogramm
Nonparametric statistics
Dependence
Document Type: 
Working Paper

Files in This Item:
File
Size
659.41 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.