A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems

DOI10.1007/S11222-009-9142-YzbMath1274.62400OpenAlexW2063765989MaRDI QIDQ692943

Ivan Kojadinovic, Jun Yan

Publication date: 6 December 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-009-9142-y

zbMATH Keywords

rankpseudo-likelihoodnormal copula\(t\)-copulaPlackett formulapseudo-observation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Uses Software

• R
• mvtnorm
• copula
• TwoCop
• copula
• QSIMVN

Cites Work

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• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
• An introduction to copulas.
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• Comparison of semiparametric and parametric methods for estimating copulas
• Bootstrap based goodness-of-fit-tests
• Fast large-sample goodness-of-fit tests for copulas
• The t Copula and Related Copulas
• Numerical computation of multivariatet-probabilities with application to power calculation of multiple contrasts
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Asymptotic Normality of Nonparametric Tests for Independence
• Understanding Relationships Using Copulas
• A kolmogorov-smirnov type test for positive quadrant dependence
• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS

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