A regularized goodness-of-fit test for copulas

MaRDI QIDQ5262081zbMATHFDO

Authors Christian Genest, Wanling Huang, Jean-Marie Dufour

Publication date 13 July 2015

Full work available at URL http://journal-sfds.fr/article/view/155/

zbMATH Keywords

rankempirical copulaGaussian processmultiplier central limit theoremAnderson-Darling statisticMonte Carlo studypseudo-observationCramér-von Mises statistic

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Gaussian processes (60G15) Hypothesis testing in multivariate analysis (62H15)

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(28)

• scientific article; zbMATH DE number 5510442 (Why is no real title available?)
• A goodness-of-fit test for bivariate extreme-value copulas
• Goodness-of-approximation of copulas by a parametric family
• On tests of radial symmetry for bivariate copulas
• Goodness-of-fit testing for copulas: a distribution-free approach
• Bayesian and non-Bayesian estimation for the parameter of bivariate generalized Rayleigh distribution based on Clayton copula under progressive type-II censoring with random removal
• Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines
• GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
• Goodness-of-fit test for tail copulas modeled by elliptical copulas
• Fast large-sample goodness-of-fit tests for copulas
• Testing distributional assumptions using a continuum of moments
• Bivariate Chen distribution based on copula function: properties and application of diabetic nephropathy
• A goodness of fit test for copulas based on Rosenblatt's transformation
• Copula conditional tail expectation for multivariate financial risks
• A Szekely-Rizzo inequality for testing general copula homogeneity hypotheses
• Goodness-of-fit tests for copulas: A review and a power study
• A goodness-of-fit test for regular vine copula models
• A goodness-of-fit test for copula densities
• From weakly chaotic dynamics to deterministic subdiffusion via copula modeling
• A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems
• Goodness-of-fit tests for copulas
• scientific article; zbMATH DE number 5218715 (Why is no real title available?)
• Goodness‐of‐fit for regime‐switching copula models with application to option pricing
• Some copula inference procedures adapted to the presence of ties
• Rank-based inference tools for copula regression, with property and casualty insurance applications
• Some comments on goodness-of-fit tests for the parametric form of the copula based on \(L^{2}\)-distances
• An overview of the goodness-of-fit test problem for copulas
• Non-parametric weighted tests for independence based on empirical copula process

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