Goodness-of-fit test for specification of semiparametric copula dependence models

DOI10.1016/j.jeconom.2016.02.017zbMath1420.62210OpenAlexW2207378229MaRDI QIDQ127469

Peter X.-K. Song, Qian M. Zhou, Shulin Zhang, Ostap Okhrin, Peter X.-K. Song, Qian M. Zhou, Ostap Okhrin, Shu-Lin Zhang

Publication date: July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.02.017

zbMATH Keywords

powerbootstrap hybrid testin-and-out-of sample likelihood

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (8)

On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity ⋮ An Information Ratio-Based Goodness-of-Fit Test for Copula Models on Censored Data ⋮ Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach ⋮ Copula-based score test for bivariate time-to-event data, with application to a genetic study of AMD progression ⋮ gofCopula ⋮ Goodness-of-fit test of copula functions for semi-parametric univariate time series models ⋮ Comparison of stochastic correlation models ⋮ Efficient capital management using an internal model: a case of non-life insurance

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Profiling heteroscedasticity in linear regression models
• Goodness-of-fit tests for copulas: A review and a power study
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• A review of copula models for economic time series
• Goodness-of-fit tests for copulas
• A goodness-of-fit test for bivariate extreme-value copulas
• An introduction to copulas.
• Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
• A goodness of fit test for copulas based on Rosenblatt's transformation
• Asymptotic normality of nonparametric tests for independence
• Fitting bivariate loss distributions with copulas
• Weak convergence of empirical copula processes
• Weak convergence and empirical processes. With applications to statistics
• Information ratio test for model misspecification on parametric structures in stochastic diffusion models
• Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas
• Correlated data analysis: modeling, analytics, and applications
• Dynamic structured copula models
• Credit Risk in a Network Economy
• Detecting and Predicting Forecast Breakdowns
• Multivariate survival distributions
• Local Power Analyses of Goodness‐of‐fit Tests for Copulas
• Joint Regression Analysis of Correlated Data Using Gaussian Copulas
• On a new goodness-of-fit process for families of copulas
• Asymptotic Statistics
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Asymptotic Efficiency of Nonparametric Tests
• Multivariate Dispersion Models Generated From Gaussian Copula
• Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
• Dependence structures for multivariate high-frequency data in finance
• Testing the Gaussian copula hypothesis for financial assets dependences
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Information Ratio Test for Model Misspecification in Quasi-Likelihood Inference
• Strictly Proper Scoring Rules, Prediction, and Estimation
• The IOS Test for Model Misspecification
• Asymptotic Normality of Nonparametric Tests for Independence
• Understanding Relationships Using Copulas
• Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
• A kolmogorov-smirnov type test for positive quadrant dependence
• Remarks on a Multivariate Transformation
• Maximum Likelihood Estimation of Misspecified Models

This page was built for publication: Goodness-of-fit test for specification of semiparametric copula dependence models