Speaker: Dr. Bruno Remillard
Title: Tests of independence and randomness for arbitrary data using copula-based covariances
Abstract: In this talk, I will present tests of independence for data with arbitrary distributions in the non-serial case, i.e., for independent and identically distributed random vectors, as well as in the serial case, i.e., for time series. These tests are derived from copula-based covariances and their multivariate extensions using Moebius transforms. We find the asymptotic distributions of these statistics under the null hypothesis of independence or randomness, as well as under contiguous alternatives. This enables us to find out locally most powerful test statistics for some alternatives, whatever the margins. Numerical experiments are performed for Wald's type combinations of these statistics to assess the finite sample performance. This is joint work with Bouchra Nasri.
Day & Time: Thursday, October 26, 2023 at 3:00pm
Location: Lambton 9-118
Counts toward seminar attendance for MSc and PhD students in Math & Stats.