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Abstract: Deheuvels J. Multivariate Anal. 11 1981 102-113 and Genest andR\-{e}millard Test 13 2004 335-369 have shown that powerful rank tests ofmultivariate independence can be based on combinations of asymptoticallyindependent Cram\-{e}r-von Mises statistics derived from a M\-{o}biusdecomposition of the empirical copula process. A result on the large-samplebehavior of this process under contiguous sequences of alternatives is usedhere to give a representation of the limiting distribution of such teststatistics and to compute their relative local asymptotic efficiency. Localpower curves and asymptotic relative efficiencies are compared under familiarclasses of copula alternatives.



Autor: Christian Genest, Jean-François Quessy, Bruno Rémillard

Fuente: https://arxiv.org/







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