Autori
De Martini, Daniele
Vespa, Erica

Titolo
Modelling bivariate dependence with application to indipendence tests and their efficiency.
Periodico
Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2003 - Volume: 03 - Fascicolo: 51 - Pagina iniziale: 1 - Pagina finale: 33

We consider independence tests and related methods to evauate their efficiency. We first remark that many of the most used independence tests are functions of the empirical copula, which is a sufficient statistic. Hence, the power of these tests depends only on the theoretical copula and not on the marginal distributions. Then, we consider monotone dependence tests and we propose a parametric model for the definition of the power function. Such a model is based on a path of copulas from the copula of independence to maximum dependence, and is characterized by the copula of the underlying joint distribution. Moreover, we show a consistent estimator of the path of copulas. Finally, we provide some examples of applications, and in particular a bootstrap estimator of the power curve.




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