Some comments on goodness-of-fit tests for the parametric form of the copula based on L^2-distances

DOI10.1016/J.JMVA.2009.09.014MaRDI QIDQ847427zbMATH OpenOpenAlexFDO

Authors Axel Bücher, Holger Dette

Publication date 12 February 2010

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2009.09.014

zbMATH Keywords

copulaparametric bootstrapgoodness-of-fit tests\(L^{2}\)-distance

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)

Recommendations

• Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
• Goodness-of-fit tests for copulas
• Goodness-of-fit testing for copulas: a distribution-free approach
• Bootstrapping L2-type statistics in copula density testing
• A regularized goodness-of-fit test for copulas

Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 2063765 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
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• Asymptotic Statistics
• Comparing nonparametric versus parametric regression fits
• Estimating the density of a copula function
• Goodness-of-fit tests for copulas
• Goodness-of-fit tests for copulas: A review and a power study
• Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
• On some global measures of the deviations of density function estimates
• Semiparametric estimation in copula models
• Some higher-order theory for a consistent non-parametric model specification test
• Testing precise hypotheses. With comments and a rejoinder by the authors
• Testing the Gaussian copula hypothesis for financial assets dependences
• The oscillation behavior of empirical processes: The multivariate case
• Understanding Relationships Using Copulas
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models

Cited in

(12)

• Statistical models and methods for dependence in insurance data
• Test of symmetry based on copula function
• Goodness-of-fit test for directional data
• Goodness-of-fit tests for elliptical and independent copulas through projection pursuit
• The limit distribution of weighted \(L^2\)-goodness-of-fit statistics under fixed alternatives, with applications
• On the strong approximation of bootstrapped empirical copula processes with applications
• Goodness-of-approximation of copulas by a parametric family
• A note on testing independence by a copula-based order selection approach
• Bootstrapping L2-type statistics in copula density testing
• An updated review of goodness-of-fit tests for regression models
• Some applications of the strong approximation of the integrated empirical copula processes
• Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters

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