A Goodness-of-fit Test for Copulas

DOI10.1080/07474938.2012.690692zbMath1491.62224OpenAlexW2107647240MaRDI QIDQ5080467

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Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/9998/1/MPRA_paper_9998.pdf

zbMATH Keywords

copulainformation matrixMLEgoodness-of-fit

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (9)

EM algorithm in Gaussian copula with missing data ⋮ Maximum likelihood estimation for bivariate SUR Tobit modeling in presence of two right-censored dependent variables ⋮ Risk aggregation in non-life insurance: standard models vs. internal models ⋮ Tail-weighted measures of dependence ⋮ A copula-based method of classifying individuals into binary disease categories using dependent biomarkers ⋮ Goodness-of-fit test of copula functions for semi-parametric univariate time series models ⋮ 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

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