Test of independence in the Farlie-Gumbel-Morgenstern distribution

Date

2003-01-01

Author

Guven, B

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We consider the hypotheses; H-0 : theta = 0 vs. H-1 : theta greater than or equal to eta where theta is the dependence parameter of the Farlie-Gumbel-Morgenstren distribution and eta is an element of (0, 1]. A test, which maximizes the minimum power over the alternative hypothesis, is given for these hypotheses. The power function of this test is monotone increasing over the alternative hypothesis. Furthermore, the asymptotic distribution and the approximate power of the test are presented.

Subject Keywords

Independence, Quadrant dependence, Mellin transform, Inversion integral, Test function, Likelihood ratio, Approximated power

URI

https://hdl.handle.net/11511/63665

Journal

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS

DOI

https://doi.org/10.1081/sta.120022707

Collections

Department of Statistics, Article

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Citation Formats

B. Guven, “Test of independence in the Farlie-Gumbel-Morgenstern distribution,” COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, pp. 1753–1765, 2003, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/63665.