A weighted independence test based on smooth estimation of Kendall distribution

Abstract

In this study, we introduce a nonparametric test of independence which is based on a weighted Cramér-von Mises distance of the Bernstein estimate of the Kendall distribution function. We examine the power and the size of the new weighted test and, we compare it with the non-weighted nonparametric tests of independence through a Monte Carlo simulation study. The simulation results indicate that both of the choices of the weights and the polynomial degree has a significant effect on the test power. Finally, the procedure is applied to a dataset on chemical elements in water samples for the purpose of illustration.

KEYWORDS:

• Cramér-Von-Mises
• copula
• independence
• weighted test

Acknowledgments

We thank the anonymous referees and the editor for their helpful suggestions which improved the presentation of the paper.

Disclosure statement

No potential conflict of interest was reported by the author(s).