Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review

DOI10.1016/j.jmva.2015.01.001zbMath1328.62355arXiv1306.0818OpenAlexW2016873109MaRDI QIDQ2350037

Ulf Schepsmeier

Publication date: 18 June 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.0818

zbMATH Keywords

copulagoodness-of-fit testspower comparisonR-vineinformation matrix ratio test

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05)

Related Items

Specification of informative prior distributions for multinomial models using vine copulas ⋮ On multivariate asymmetric dependence using multivariate skew-normal copula-based regression ⋮ Model distances for vine copulas in high dimensions ⋮ A unified approach to proving parametric bootstrap consistency for some goodness-of-fit tests ⋮ Data-driven polynomial chaos expansion for machine learning regression ⋮ Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems ⋮ A goodness-of-fit test for regular vine copula models ⋮ Generalized information matrix tests for copulas

Uses Software

• R
• nacopula
• VineCopula

Cites Work

• Unnamed Item
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