Asymptotic local efficiency of Cramér–von Mises tests for multivariate independence

Christian Genest, Jean-François Quessy, Bruno Rémillard

The Annals of Statistics · 2007 · Volume 35 · Issue 1

Abstract

Deheuvels [J. Multivariate Anal. 11 (1981) 102–113] and Genest and Rémillard [Test 13 (2004) 335–369] have shown that powerful rank tests of multivariate independence can be based on combinations of asymptotically independent Cramér–von Mises statistics derived from a Möbius decomposition of the empirical copula process. A result on the large-sample behavior of this process under contiguous sequences of alternatives is used here to give a representation of the limiting distribution of such test statistics and to compute their relative local asymptotic efficiency. Local power curves and asymptotic relative efficiencies are compared under familiar classes of copula alternatives.

Keywords

60G15, 62E20, 62G30, 62H15, Archimedean copula models, Asymptotic relative efficiency, contiguous alternatives, Cramér–von Mises statistics, empirical copula process, local power curve, Möbius inversion formula, tests of multivariate independence

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