Goodness-of-fit tests for copulas
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Publication:558063
DOI10.1016/J.JMVA.2004.07.004zbMATH Open1095.62052OpenAlexW2019162516MaRDI QIDQ558063FDOQ558063
Authors: Jean-David Fermanian 
Publication date: 30 June 2005
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: http://crest.science/RePEc/wpstorage/2003-34.pdf
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Cited In (only showing first 100 items - show all)
- Estimation of high-order moment-independent importance measures for Shapley value analysis
- A copula-based non-parametric measure of regression dependence
- Change analysis of a dynamic copula for measuring dependence in multivariate financial data
- Bayesian copula selection
- Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
- About tests of the ``simplifying assumption for conditional copulas
- An empirical central limit theorem with applications to copulas under weak dependence
- Estimating copula densities, using model selection techniques
- Dependence structure of conditional Archimedean copulas
- On coverage limits and deductibles for SAI loss severities
- On the construction of nested Archimedean copulas for \(d\)-monotone generators
- Goodness-of-fit tests for elliptical and independent copulas through projection pursuit
- Empirical likelihood based confidence intervals for copulas
- The limit distribution of weighted \(L^2\)-goodness-of-fit statistics under fixed alternatives, with applications
- Goodness-of-fit testing for copulas: a distribution-free approach
- Local power analysis of goodness-of-fit tests for copulas
- A goodness-of-fit test for copula densities
- On the multivariate two-sample problem using strong approximations of empirical copula processes
- An overview of the goodness-of-fit test problem for copulas
- Multivariate longitudinal modeling of insurance company expenses
- Asymptotic properties of the Bernstein density copula estimator for \(\alpha \)-mixing data
- Semiparametric estimation of the parameters of multivariate copulas
- Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation
- Goodness-of-fit test for tail copulas modeled by elliptical copulas
- Likelihood ratio procedures and tests of fit in parametric and semiparametric copula models with censored data
- Robust estimators and tests for bivariate copulas based on likelihood depth
- A goodness-of-fit test for copulas based on martingale transformation
- De copulis non est disputandum. Copulae: an overview
- Longitudinal modeling of insurance claim counts using jitters
- Fast large-sample goodness-of-fit tests for copulas
- Generalized multivariate Gumbel distributions -- dependence, aging properties and applications
- The Bickel-Rosenblatt test for continuous time stochastic volatility models
- Copula density estimation by total variation penalized likelihood
- Estimating the tail-dependence coefficient: properties and pitfalls
- A goodness-of fit improvement based on τ-preserving transformation for semiparametric family of copulas
- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
- Copulas: A Review and Recent Developments
- Goodness-of-fit test for specification of semiparametric copula dependence models
- Goodness-of-fit tests for copulas: A review and a power study
- On a new goodness-of-fit process for families of copulas
- A model selection test for bivariate failure-time data
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- A Survey on Time-Varying Copulas: Specification, Simulations, and Application
- Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
- Goodness-of-fit tests for parametric families of Archimedean copulas
- Modelling dependence
- A copula test space model how to avoid the wrong copula choice
- Out-of-sample comparison of copula specifications in multivariate density forecasts
- Nonparametric estimation of copula functions for dependence modelling
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Rejoinder on: ``An updated review of goodness-of-fit tests for regression models
- Statistical properties of parametric estimators for Markov chain vectors based on copula models
- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
- A Goodness-of-fit Test for Copulas
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- Time-dependent copulas
- Copula model evaluation based on parametric bootstrap
- Some comments on goodness-of-fit tests for the parametric form of the copula based on \(L^{2}\)-distances
- An updated review of goodness-of-fit tests for regression models
- On testing equality of pairwise rank correlations in a multivariate random vector
- Testing for equality between two copulas
- Estimating copula densities through wavelets
- On the structure and estimation of hierarchical Archimedean copulas
- Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
- Testing Goodness of Fit for Parametric Families of Copulas—Application to Financial Data
- A goodness-of-fit test for bivariate extreme-value copulas
- A quantile-copula approach to conditional density estimation
- A goodness of fit test for copulas based on Rosenblatt's transformation
- Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
- Do stock returns have an Archimedean copula?
- Is a Normal Copula the Right Copula?
- Fitting high-dimensional copulae to data
- Title not available (Why is that?)
- Modified Gaussian pseudo-copula: applications in insurance and finance
- Multivariate adaptive warped kernel estimation
- Selection of Mixed Copula Model via Penalized Likelihood
- Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)
- A distribution-free goodness of fit test for copula model: an application to Farlie-Gumbel-Morgernstern copula
- Generalized information matrix tests for copulas
- A <scp>copula‐based</scp> approach on optimal allocation of hot standbys in series systems
- A goodness-of-fit test based on Kendall's process: Durante's bivariate copula models
- The Kolmogorov goodness-of-fit test of independence based on copulas
- Copulae: an overview and recent developments
- Parameter estimation of bivariate distributions in presence of outliers: an application to FGM copula
- Transformation-Kernel Estimation of Copula Densities
- Asymptotic total variation tests for copulas
- Robust Fits for Copula Models
- Classical and Bayesian inference of a mixture of bivariate exponentiated exponential model
- The weighted characteristic function of the multivariate PIT: independence and goodness-of-fit tests
- Some hypothesis tests based on random projection
- Dependence measure for length-biased survival data using copulas
- A note on testing independence by a copula-based order selection approach
- Goodness-of-fit test of copula functions for semi-parametric univariate time series models
- Non‐parametric Copula Estimation Under Bivariate Censoring
- GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
- Flexible modeling based on copulas in nonparametric median regression
- Estimation of medical costs by copula models with dynamic change of health status
- Construction of leading economic index for recession prediction using vine copulas
- Efficient capital management using an internal model: a case of non-life insurance
- Title not available (Why is that?)
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