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Test of independence and randomness based on the empirical copula process

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Author Info
Christian Genest ()
Bruno Rémillard

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Abstract

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File URL: http://hdl.handle.net/10.1007/BF02595777
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Publisher Info
Article provided by Springer in its journal Test.

Volume (Year): 13 (2004)
Issue (Month): 2 (December)
Pages: 335-369
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Handle: RePEc:spr:testjl:v:13:y:2004:i:2:p:335-369

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Related research
Keywords: Copula; Cramér-von Mises statistic; empirical process; Möbius inversion formula; pseudo-observations; semi-parametric models; serial dependence; tesis of independence; 60F05; 2E20;

References listed on IDEAS
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  1. Barbe, Philippe & Genest, Christian & Ghoudi, Kilani & Rémillard, Bruno, 1996. "On Kendall's Process," Journal of Multivariate Analysis, Elsevier, vol. 58(2), pages 197-229, August. [Downloadable!] (restricted)
  2. Deheuvels, Paul, 1981. "An asymptotic decomposition for multivariate distribution-free tests of independence," Journal of Multivariate Analysis, Elsevier, vol. 11(1), pages 102-113, March. [Downloadable!] (restricted)
  3. Hallin, M. & Puri, M.L., 1992. "Rank Tests for Time Series Analysis , A Survey," Papers 9210, Universite Libre de Bruxelles - C.E.M.E..
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Cited by:
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  1. Sancetta, A. & Nikanrova, A., 2005. "Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices," Cambridge Working Papers in Economics 0516, Faculty of Economics, University of Cambridge. [Downloadable!]
Statistics
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