Test of independence for generalized Farlie-Gumbel-Morgenstern distributions

Guven, Bilgehan; Kotz, Samual

doi:10.1016/j.cam.2006.11.029

Test of independence for generalized Farlie-Gumbel-Morgenstern distributions

Atıf İçin Kopyala

Guven B., Kotz S.

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, cilt.212, sa.1, ss.102-111, 2008 (SCI-Expanded)

Yayın Türü: Makale / Tam Makale
Cilt numarası: 212 Sayı: 1
Basım Tarihi: 2008
Doi Numarası: 10.1016/j.cam.2006.11.029
Dergi Adı: JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
Sayfa Sayıları: ss.102-111
Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

Given a pair of absolutely continuous random variables (X, Y) distributed as the generalized Farlie-Gumbel-Morgenstern (GFGM) distribution, we develop a test for testing the hypothesis: X and Y are independent vs. the alternative; X and Y are positively (negatively) quadrant dependent above a preassigned degree of dependence. The proposed test maximizes the minimum power over the alternative hypothesis. Also it possesses a monotone increasing power with respect to the dependence parameter of the GFGM distribution. An asymptotic distribution of the test statistic and an approximate test power are also studied. (c) 2006 Elsevier B.V. All rights reserved.