Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
From MaRDI portal
Publication:3411078
DOI10.1111/j.1467-9469.2006.00470.xzbMath1124.62028OpenAlexW2053560298MaRDI QIDQ3411078
Bruno Rémillard, Jean-François Quessy, Christian Genest
Publication date: 8 December 2006
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9469.2006.00470.x
Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30)
Related Items (92)
A MODEL SELECTION TEST FOR BIVARIATE FAILURE-TIME DATA ⋮ Unnamed Item ⋮ The general tail dependence function in the Marshall-Olkin and other parametric copula models with an application to financial time series ⋮ A goodness-of-fit test based on Kendall's process: Durante's bivariate copula models ⋮ Multi-objective portfolio optimization considering the dependence structure of asset returns ⋮ On the family of multivariate chi-square copulas ⋮ Stat trek. An interview with Christian Genest ⋮ Testing for Bivariate Extreme Dependence Using Kendall's Process ⋮ A Goodness-of-fit Test for Copulas ⋮ Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters ⋮ Out-of-sample comparison of copula specifications in multivariate density forecasts ⋮ Longitudinal modeling of insurance claim counts using jitters ⋮ Dependence measure for length-biased survival data using copulas ⋮ Estimating discrete Markov models from various incomplete data schemes ⋮ Vine copulas with asymmetric tail dependence and applications to financial return data ⋮ On multivariate extensions of value-at-risk ⋮ Goodness-of-fit tests for parametric families of Archimedean copulas ⋮ Bivariate rainfall and runoff analysis using entropy and copula theories ⋮ A goodness-of-fit test based on Bézier curve estimation of Kendall distribution ⋮ A weighted independence test based on smooth estimation of Kendall distribution ⋮ A note on testing independence by a copula-based order selection approach ⋮ The weighted characteristic function of the multivariate PIT: independence and goodness-of-fit tests ⋮ Copula modeling from Abe Sklar to the present day ⋮ Autocopulas: investigating the interdependence structure of stationary time series ⋮ Goodness-of-fit testing for copulas: a distribution-free approach ⋮ A goodness-of-fit test for bivariate extreme-value copulas ⋮ A test for Archimedeanity in bivariate copula models ⋮ Likelihood inference for Archimedean copulas in high dimensions under known margins ⋮ Invariant dependence structures and Archimedean copulas ⋮ Bivariate odds ratio and association measures ⋮ Do stock returns have an Archimedean copula? ⋮ Multivariate longitudinal modeling of insurance company expenses ⋮ Three-stage semi-parametric estimation of \(t\)-copulas: asymptotics, finite-sample properties and computational aspects ⋮ Unnamed Item ⋮ A generalization of the Kaplan-Meier estimator for analyzing bivariate mortality under right-censoring and left-truncation with applications in model-checking for survival copula models ⋮ Estimation of association parameters in copula models for bivariate left-truncated and right-censored data ⋮ Archimedean copula estimation and model selection via \(l_1\)-norm symmetric distribution ⋮ Goodness-of-fit tests for elliptical and independent copulas through projection pursuit ⋮ A new dependence measure for importance analysis: application to an environmental model ⋮ Sensitivity analysis method for model with correlated inputs and multivariate output and its application to aircraft structure ⋮ A New Method for the Construction of Bivariate Archimedean Copulas Based on the λ Function ⋮ Dependence structure of conditional Archimedean copulas ⋮ Hierarchical Kendall copulas: Properties and inference ⋮ On the structure and estimation of hierarchical Archimedean copulas ⋮ Stochastic comparison of lifetimes of two \((n - k + 1)\)-out-of-\(n\) systems with heterogeneous dependent components ⋮ Convergence of Archimedean copulas ⋮ The Copula Information Criteria ⋮ Estimation of multivariate conditional-tail-expectation using Kendall's process ⋮ Inference in multivariate Archimedean copula models ⋮ Unnamed Item ⋮ Weak convergence of empirical and bootstrapped \(C\)-power processes and application to copula goodness-of-fit ⋮ Statistical properties of parametric estimators for Markov chain vectors based on copula models ⋮ Likelihood ratio procedures and tests of fit in parametric and semiparametric copula models with censored data ⋮ Nonparametric estimation of copula functions for dependence modelling ⋮ Benford's law beyond independence : tracking Benford behavior in copula models ⋮ SEMIPARAMETRIC ESTIMATION OF THE ERROR DISTRIBUTION IN MULTIVARIATE REGRESSION USING COPULAS ⋮ Goodness-of-fit tests for copulas: A review and a power study ⋮ Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models ⋮ Testing for equality between two copulas ⋮ Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study ⋮ Mixture of D-vine copulas for modeling dependence ⋮ Testing independence for Archimedean copula based on Bernstein estimate of Kendall distribution function ⋮ A copula-based approach for estimating the survival functions of two alternating recurrent events ⋮ A goodness-of-fit test for copulas based on martingale transformation ⋮ Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS ⋮ Maximum likelihood estimation of mixed C-vines with application to exchange rates ⋮ Analysis of directional dependence using asymmetric copula-based regression models ⋮ Estimating copula densities through wavelets ⋮ Comparison of semiparametric and parametric methods for estimating copulas ⋮ Truncation invariant copulas and a testing procedure ⋮ A goodness of fit test for copulas based on Rosenblatt's transformation ⋮ Quantile curves and dependence structure for bivariate distributions ⋮ On a new goodness-of-fit process for families of copulas ⋮ Archimedean copula estimation using Bayesian splines smoothing techniques ⋮ Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management ⋮ Copula model evaluation based on parametric bootstrap ⋮ GeD spline estimation of multivariate Archimedean copulas ⋮ Copula Density Estimation Using Multiwavelets Based on the Multiresolution Analysis ⋮ Comparison of stochastic correlation models ⋮ A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost ⋮ On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence ⋮ Some alternative bivariate Kumaraswamy-type distributions via copula with application in risk management ⋮ Fitting High-Dimensional Copulae to Data ⋮ Bivariate Chen distribution based on copula function: properties and application of diabetic nephropathy ⋮ Assessing stock market dependence and contagion ⋮ Comments on: Inference in multivariate Archimedean copula models ⋮ A goodness-of-fit test for copulas based on the collision test ⋮ A goodness-of-fit test for regular vine copula models ⋮ Generalized information matrix tests for copulas ⋮ Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review ⋮ On a bivariate copula for modeling negative dependence: application to New York air quality data
Cites Work
- Unnamed Item
- Robust portfolio optimization
- On the simultaneous associativity of F(x,y) and x+y-F(x,y)
- A class of bivariate distributions including the bivariate logistic
- An introduction to copulas. Properties and applications
- Fitting bivariate loss distributions with copulas
- On Kendall's process
- Estimation of a bivariate extreme value distribution
- Bivariate distributions with given extreme value attractor
- On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model
- Bivariate option pricing using dynamic copula models
- Biometrika Centenary: Survival analysis
- Modelling failure-time associations in data with multiple levels of clustering
- A goodness-of-fit test for association in a bivariate survival model
- Checking the adequacy of the gamma frailty model for multivariate failure times
- A nonparametric estimation procedure for bivariate extreme value copulas
- The Use of Archimedean Copulas to Model Portfolio Allocations
- Understanding Relationships Using Copulas
- On the multivariate probability integral transformation
This page was built for publication: Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
