Conference Agenda
Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
|
Daily Overview |
| Session | |
|
Multivariate Statistics and Copulas Location: 0.004 Session Chair: Eckhard Liebscher | |
    | |
Tests for independence between random vectors University of Leuven (KU Leuven), Belgium, Belgium In this talk the focus is on copula-based procedures for testing whether a finite collection of continuous random vectors is mutually independent. In particular, we look into the class of meta-elliptical copulas and test the hypothesis whether the copula correlation matrix is a block diagonal matrix. The test statistic is a Phi-dependence measure of a rank-based correlation matrix estimator, whose asymptotic distribution under the null is obtained for general (Phi) functions and general elliptical generators. In case of the Gaussian copula, we also develop asymptotics when optimal transport dependence measures are used for testing the null hypothesis of independent random vectors. Some numerical studies, including comparisons with existing methods, are reported on. Irène Gijbels, Steven De Keyser University of Leuven (KU Leuven), Belgium. | |
