Generalized information matrix tests for copulas
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Bootstrap, jackknife and other resampling methods (62F40) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Recommendations
- A goodness-of-fit test for copulas
- Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review
- Asymptotic total variation tests for copulas
- A goodness-of-fit test for regular vine copula models
- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
Cites work
- scientific article; zbMATH DE number 1261669 (Why is no real title available?)
- A goodness-of-fit test for copulas
- A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems
- A goodness-of-fit test for regular vine copula models
- A review of copula models for economic time series
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Asymptotic efficiency of the two-stage estimation method for copula-based models
- Dependence modeling with copulas
- Derivatives and Fisher information of bivariate copulas
- Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review
- Estimating non-simplified vine copulas using penalized splines
- Estimating standard errors in regular vine copula models
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Estimation of copula-based semiparametric time series models
- Fitting bivariate loss distributions with copulas
- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
- Goodness-of-fit tests for copulas
- Goodness-of-fit tests for copulas: A review and a power study
- Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
- Information ratio test for model misspecification in quasi-likelihood inference
- Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas
- Maximum Likelihood Estimation of Misspecified Models
- Measurement of aggregate risk with copulas
- Pair-copula constructions of multiple dependence
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Remarks on a Multivariate Transformation
- Semiparametric estimation in copula models
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- The IOS Test for Model Misspecification
- Truncated regular vines in high dimensions with application to financial data
- Uncertainty Analysis with High Dimensional Dependence Modelling
- Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
- Vines -- a new graphical model for dependent random variables.
Cited in
(10)- A goodness-of-fit test for regular vine copula models
- A goodness-of-fit test for copulas
- Beta regression misspecification tests
- An Information Ratio-Based Goodness-of-Fit Test for Copula Models on Censored Data
- Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review
- Copula-Based Random Effects Models for Clustered Data
- The Covariance Matrix of the Information Matrix Test
- Information matrix equivalence in the presence of censoring: a goodness-of-fit test for semiparametric copula models with multivariate survival data
- New strategies for detecting atypical observations based on the information matrix equality
- A new parametric method of estimating the joint probability density: revisited
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