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

DOI10.1016/J.JMVA.2009.09.014zbMATH Open1181.62060OpenAlexW2040455450MaRDI QIDQ847427FDOQ847427

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

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

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)

Cites Work

• Goodness-of-fit tests for copulas: A review and a power study
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• Asymptotic Statistics
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• An introduction to copulas.
• Comparing nonparametric versus parametric regression fits
• On some global measures of the deviations of density function estimates
• Estimating the density of a copula function
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• Semiparametric estimation in copula models
• A consistent test of functional form via nonparametric estimation techniques
• A goodness of fit test for copulas based on Rosenblatt's transformation
• Understanding Relationships Using Copulas
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
• Title not available (Why is that?)
• Testing the Gaussian copula hypothesis for financial assets dependences
• Goodness-of-fit tests for copulas
• Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
• Some higher-order theory for a consistent non-parametric model specification test
• The oscillation behavior of empirical processes: The multivariate case
• A Semiparametric Maximum Likelihood Estimator
• Testing precise hypotheses. With comments and a rejoinder by the authors

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
• Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
• Some applications of the strong approximation of the integrated empirical copula processes

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