A goodness-of-fit test for copulas based on martingale transformation
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Publication:2295802
Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Cites work
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- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
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- A goodness of fit test for copulas based on Rosenblatt's transformation
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- Goodness-of-fit tests for copulas: A review and a power study
- Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
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- Martingale transforms goodness-of-fit tests in regression models.
- Model checks for regression: an innovation process approach
- Nonparametric model checks for time series
- Remarks on a Multivariate Transformation
- Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
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Cited in
(6)- Goodness-of-fit testing for copulas: a distribution-free approach
- Measure-invariance of copula functions as tool for testing no-arbitrage assumption
- Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models
- A random walk through Canadian contributions on empirical processes and their applications in probability and statistics
- Implementation of a goodness-of-fit test through Khmaladze martingale transformation
- A goodness of fit test for copulas based on Rosenblatt's transformation
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