Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters

DOI10.1016/j.jmva.2006.05.006zbMath1107.62037OpenAlexW3125094566MaRDI QIDQ873620

Olivier Scaillet

Publication date: 29 March 2007

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2006.05.006

zbMATH Keywords

goodness-of-fit test\(U\)-statisticcopula density

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Related Items (25)

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Uses Software

• QRM

Cites Work

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• Goodness-of-fit tests for copulas
• The empirical characteristic function and its applications
• An introduction to copulas. Properties and applications
• Goodness-of-fit tests for a multivariate distribution by the empirical characteristic function
• Weak convergence of empirical copula processes
• Weak convergence and empirical processes. With applications to statistics
• Estimating the density of a copula function
• Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
• Frank's family of bivariate distributions
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions

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