Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing

DOI10.1214/08-AOS666zbMath1360.62160arXiv0908.4530OpenAlexW2091924344WikidataQ61719264 ScholiaQ61719264MaRDI QIDQ834371

Noël Veraverbeke, Marek Omelka, Irène Gijbels

Publication date: 19 August 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.4530

zbMATH Keywords

copulaweak convergenceGaussian processKendall's taugoodness-of-fitpseudo-observationsparametric bootstrapKolmogorov-Smirnov statisticsCramér-von Mises statistics

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Uses Software

• R
• KernSmooth
• copula
• copula
• bootlib

Cites Work

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