Fast large-sample goodness-of-fit tests for copulas

DOI10.5705/ss.2011.037azbMath1214.62049OpenAlexW2322108442MaRDI QIDQ2999752

Ivan Kojadinovic, Jun Yan, Mark P. Holmes

Publication date: 16 May 2011

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/a82549e827bee86a043ba8f75c0fb2da6fb8714d

zbMATH Keywords

semiparametric modelrankempirical processmultiplier central limit theorempseudo-observation

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Exact distribution theory in statistics (62E15) Order statistics; empirical distribution functions (62G30) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05)

Related Items (25)

Some copula inference procedures adapted to the presence of ties ⋮ A simple approach to construct confidence bands for a regression function with incomplete data ⋮ Tests of symmetry for bivariate copulas ⋮ A note on bootstrap approximations for the empirical copula process ⋮ A random walk through Canadian contributions on empirical processes and their applications in probability and statistics ⋮ Dependent multiplier bootstraps for non-degenerate \(U\)-statistics under mixing conditions with applications ⋮ The weighted characteristic function of the multivariate PIT: independence and goodness-of-fit tests ⋮ Copula modeling from Abe Sklar to the present day ⋮ Multiplier bootstrap of tail copulas with applications ⋮ Unnamed Item ⋮ On the performance of weighted bootstrapped kernel deconvolution density estimators ⋮ Modified Gaussian pseudo-copula: applications in insurance and finance ⋮ Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points ⋮ GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS ⋮ Detecting departures from meta-ellipticity for multivariate stationary time series ⋮ A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems ⋮ A goodness-of-fit test for parametric models based on dependently truncated data ⋮ From weakly chaotic dynamics to deterministic subdiffusion via copula modeling ⋮ Detecting changes in cross-sectional dependence in multivariate time series ⋮ Tests of stochastic monotonicity with improved power ⋮ Classical and Bayesian inference of a mixture of bivariate exponentiated exponential model ⋮ Specification tests in semiparametric transformation models --- a multiplier bootstrap approach ⋮ Selection of Vine Copulas ⋮ Goodness-of-fit testing based on a weighted bootstrap: A fast large-sample alternative to the parametric bootstrap ⋮ Weighted bootstrapped kernel density estimators in two-sample problems

Uses Software

• copula
• TwoCop

This page was built for publication: Fast large-sample goodness-of-fit tests for copulas