Goodness-of-fit tests for copulas

Authors:
Jean-David Fermanian
Affiliations:
CREST, 15 bd Gabriel Péri, 92245 Malakoff cedex, France and CDC Ixis Capital Markets, 47 quai d'Austerlitz, 75678 Paris cedex 13, France
Venue:
Journal of Multivariate Analysis
Year:
2005

Citing 1
Cited 17

Local power properties of kernel based goodness of fit tests

Journal of Multivariate Analysis

Note: Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters

Journal of Multivariate Analysis
A goodness of fit test for copulas based on Rosenblatt's transformation

Computational Statistics & Data Analysis
Dependence structure of conditional Archimedean copulas

Journal of Multivariate Analysis
Copula model evaluation based on parametric bootstrap

Computational Statistics & Data Analysis
Empirical likelihood based confidence intervals for copulas

Journal of Multivariate Analysis
Testing for equality between two copulas

Journal of Multivariate Analysis
Flexible modeling based on copulas in nonparametric median regression

Journal of Multivariate Analysis
A quantile-copula approach to conditional density estimation

Journal of Multivariate Analysis
Asymptotic properties of the Bernstein density copula estimator for α-mixing data

Journal of Multivariate Analysis
Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market

Computational Statistics & Data Analysis
Bayesian copula selection

Computational Statistics & Data Analysis
Some comments on goodness-of-fit tests for the parametric form of the copula based on L2-distances

Journal of Multivariate Analysis
On testing equality of pairwise rank correlations in a multivariate random vector

Journal of Multivariate Analysis
Robust estimators and tests for bivariate copulas based on likelihood depth

Computational Statistics & Data Analysis
Dependence tree structure estimation via copula

International Journal of Automation and Computing
Time-dependent copulas

Journal of Multivariate Analysis
Estimation of distribution algorithms based on two copula selection methods

International Journal of Computing Science and Mathematics

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Abstract

This paper defines two distribution free goodness-of-fit test statistics for copulas. It states their asymptotic distributions under some composite parametric assumptions in an independent identically distributed framework. A short simulation study is provided to assess their power performances.