Local efficiency of a Cramér–von Mises test of independence

Deheuvels proposed a rank test of independence based on a Cramér–von Mises functional of the empirical copula process. Using a general result on the asymptotic distribution of this process under sequences of contiguous alternatives, the local power curve of Deheuvels’ test is computed in the bivariate case and compared to that of competing procedures based on linear rank statistics. The Gil-Pelaez inversion formula is used to make additional comparisons in terms of a natural extension of Pitmanʹs measure of asymptotic relative efficiency.