Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
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Publication:873620
DOI10.1016/J.JMVA.2006.05.006zbMATH Open1107.62037OpenAlexW3125094566MaRDI QIDQ873620FDOQ873620
Authors: 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
Recommendations
- Some comments on goodness-of-fit tests for the parametric form of the copula based on \(L^{2}\)-distances
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Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
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- Goodness-of-fit tests for a multivariate distribution by the empirical characteristic function
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Cited In (32)
- Is a Normal Copula the Right Copula?
- Selection of Mixed Copula Model via Penalized Likelihood
- Local power analysis of goodness-of-fit tests for copulas
- On the multivariate two-sample problem using strong approximations of empirical copula processes
- Multivariate longitudinal modeling of insurance company expenses
- Generalized information matrix tests for copulas
- A goodness-of-fit test for copulas based on martingale transformation
- Copulae: an overview and recent developments
- Longitudinal modeling of insurance claim counts using jitters
- Testing for symmetry and conditional symmetry using asymmetric kernels
- A goodness-of fit improvement based on τ-preserving transformation for semiparametric family of copulas
- Transformation-Kernel Estimation of Copula Densities
- EM algorithm in Gaussian copula with missing data
- Asymptotic total variation tests for copulas
- 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
- Goodness-of-fit tests for parametric families of Archimedean copulas
- 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
- Rejoinder on: ``An updated review of goodness-of-fit tests for regression models
- Non‐parametric Copula Estimation Under Bivariate Censoring
- GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
- Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing
- On goodness-of-fit tests for weakly dependent processes using kernel method
- A Goodness-of-fit Test for Copulas
- Bootstrapping L2-type statistics in copula density testing
- Some comments on goodness-of-fit tests for the parametric form of the copula based on \(L^{2}\)-distances
- Flexible modeling based on copulas in nonparametric median regression
- Testing for equality between two copulas
- Goodness-of-fit test for semiparametric copula models with bivariate interval-censored data
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