Resumen de A note on testing independence by a copula-based order selection approach

Sebastian Kiwitt, Natalie Neumeyer

• We suggest a new consistent asymptotically distribution-free test for independence of the components of bivariate random variables. The approach combines methods of order-selection tests with nonparametric copula density estimation. We deduce the asymptotic distribution of the test statistic and investigate the small sample performance by means of a simulation study and a data application.