Weighted Multivariate Tests of Independence |
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| Authors: | Paul Deheuvels |
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| Institution: | 1. L.S.T.A., Université Pierre et Marie Curie , Paris, France pd@ccr.jussieu.fr |
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| Abstract: | We present new tests of marginal independence for ?d-valued random vectors. Our tests rely upon weighted Cramér–von Mises-type statistics, which are functionals of the empirical copula process based upon a random sample of size n. We establish a decomposition of this process into asymptotically independent components, and describe the tests which follow from these arguments. |
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| Keywords: | Copulas Cramér–von Mises statistics Empirical processes Gaussian processes Tests of independence |
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