Fast large-sample goodness-of-fit tests for copulas
DOI10.5705/SS.2011.037AzbMATH Open1214.62049OpenAlexW2322108442MaRDI QIDQ2999752FDOQ2999752
Authors: 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
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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 (30)
- On the performance of weighted bootstrapped kernel deconvolution density estimators
- Copula fitting to autocorrelated data, with applications to wind speed modelling
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- The weighted characteristic function of the multivariate PIT: independence and goodness-of-fit tests
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- Tests of stochastic monotonicity with improved power
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- GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
- Detecting changes in cross-sectional dependence in multivariate time series
- Copula model evaluation based on parametric bootstrap
- 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
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