Fast large-sample goodness-of-fit tests for copulas
DOI10.5705/SS.2011.037AzbMATH Open1214.62049OpenAlexW2322108442MaRDI QIDQ2999752FDOQ2999752
Ivan Kojadinovic, Jun Yan, Mark Holmes
Publication date: 16 May 2011
Published in: STATISTICA SINICA (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/a82549e827bee86a043ba8f75c0fb2da6fb8714d
Exact distribution theory in statistics (62E15) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric hypothesis testing (62G10) Monte Carlo methods (65C05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30)
Cited In (26)
- On the performance of weighted bootstrapped kernel deconvolution density estimators
- Modified Gaussian pseudo-copula: applications in insurance and finance
- Some copula inference procedures adapted to the presence of ties
- Detecting departures from meta-ellipticity for multivariate stationary time series
- Weighted bootstrapped kernel density estimators in two-sample problems
- From weakly chaotic dynamics to deterministic subdiffusion via copula modeling
- Tests of symmetry for bivariate copulas
- A random walk through Canadian contributions on empirical processes and their applications in probability and statistics
- Randomization Tests for Equality in Dependence Structure
- Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points
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- Selection of Vine Copulas
- Classical and Bayesian inference of a mixture of bivariate exponentiated exponential model
- Copula modeling from Abe Sklar to the present day
- The weighted characteristic function of the multivariate PIT: independence and goodness-of-fit tests
- Goodness-of-fit testing based on a weighted bootstrap: a fast large-sample alternative to the parametric bootstrap
- Tests of stochastic monotonicity with improved power
- A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems
- GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
- Detecting changes in cross-sectional dependence in multivariate time series
- Specification tests in semiparametric transformation models --- a multiplier bootstrap approach
- Dependent multiplier bootstraps for non-degenerate \(U\)-statistics under mixing conditions with applications
- A note on bootstrap approximations for the empirical copula process
- Multiplier bootstrap of tail copulas with applications
- A goodness-of-fit test for parametric models based on dependently truncated data
- A simple approach to construct confidence bands for a regression function with incomplete data
Uses Software
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