A goodness-of-fit test based on Kendall's process: Durante's bivariate copula models

MaRDI QIDQ2138264zbMATH OpenFDO

Authors N'dri Hubert Bian, Ouagnina Hili, Gueï Cyrille Okou

Publication date 11 May 2022

Published in Afrika Statistika (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/afrika-statistika/volume-16/issue-3/A-goodness-of-fit-test-based-on-Kendalls-2-process/10.16929/as/2021.2851.187.full

zbMATH Keywords

copulaparametric bootstrapgoodness-of-fit testKendall's dependence functionCramér-von Mises statistic

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
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• 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
• Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
• On Kendall's process
• On a family of multivariate copulas for aggregation processes
• On a new goodness-of-fit process for families of copulas
• On the structure and estimation of hierarchical Archimedean copulas
• Semilinear copulas
• Simulating from the copula that generates the maximal probability for a joint default under given (Inhomogeneous) marginals
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Tests of serial independence based on Kendall's process
• Understanding Relationships Using Copulas
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models

Cited in

(2)

• Weak convergence of empirical and bootstrapped \(C\)-power processes and application to copula goodness-of-fit
• Testing for bivariate extreme dependence using Kendall's process

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