A regularized goodness-of-fit test for copulas

zbMATH Open1316.62075MaRDI QIDQ5262081FDOQ5262081

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/

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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)

Cited In (28)

• Copula conditional tail expectation for multivariate financial risks
• On tests of radial symmetry for bivariate copulas
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• Testing distributional assumptions using a continuum of moments
• A Szekely-Rizzo inequality for testing general copula homogeneity hypotheses
• A goodness-of-fit test for copula densities
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• Rank-based inference tools for copula regression, with property and casualty insurance applications
• Goodness-of-fit test for tail copulas modeled by elliptical copulas
• From weakly chaotic dynamics to deterministic subdiffusion via copula modeling
• Fast large-sample goodness-of-fit tests for copulas
• 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
• Goodness-of-fit tests for copulas: A review and a power study
• Goodness-of-approximation of copulas by a parametric family
• A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems
• 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
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• Bivariate Chen distribution based on copula function: properties and application of diabetic nephropathy
• Some comments on goodness-of-fit tests for the parametric form of the copula based on \(L^{2}\)-distances
• Goodness‐of‐fit for regime‐switching copula models with application to option pricing
• Goodness-of-fit tests for copulas
• A goodness-of-fit test for bivariate extreme-value copulas
• Non-parametric weighted tests for independence based on empirical copula process
• A goodness of fit test for copulas based on Rosenblatt's transformation
• A goodness-of-fit test for regular vine copula models

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