Mathematics and Statistics Faculty Publications
Estimation and Inference for Dependence in Multivariate Data
Document Type
Article
Abstract
In this paper, a new measure of dependence is proposed. Our approach is based on transforming univariate data to the space where the marginal distributions are normally distributed and then, using the inverse transformation to obtain the distribution function in the original space. The pseudo-maximum likelihood method and the two-stage maximum likelihood approach are used to estimate the unknown parameters. It is shown that the estimated parameters are asymptotical normally distributed in both cases. Inference procedures for testing the independence are also studied.
Repository Citation
Bodnar, Olha; Bodnar, Taras; and Gupta, Arjun K., "Estimation and Inference for Dependence in Multivariate Data" (2010). Mathematics and Statistics Faculty Publications. 49.
https://scholarworks.bgsu.edu/math_stat_pub/49
Publication Date
2010
Publication Title
Journal of Multivariate Analysis
DOI
https://doi.org/10.1016/j.jmva.2009.11.005
Start Page No.
869
End Page No.
881