Asymptotic total variation tests for copulas
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Abstract: We propose a new goodness-of-fit test for copulas, based on empirical copula processes and their nonparametric bootstrap counterparts. The standard Kolmogorov-Smirnov type test for copulas that takes the supremum of the empirical copula process indexed by half spaces is extended by test statistics based on the supremum of the empirical copula process indexed by partitions of Ln rectangles with Ln slowly tending to infinity. Although the underlying empirical process does not converge, it is proved that the p-values of our new test statistic can be consistently estimated by the bootstrap. Simulations confirm that the power of the new procedure is higher than the power of the standard Kolmogorov-Smirnov test for copulas.
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Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 3841086 (Why is no real title available?)
- scientific article; zbMATH DE number 3656971 (Why is no real title available?)
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Cited in
(17)- On the uniform-in-bandwidth consistency of the general conditional \(U\)-statistics based on the copula representation
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