Goodness-of-fit test of copula functions for semi-parametric univariate time series models
type: Item
instance of: scholarly article
title: Goodness-of-fit test of copula functions for semi-parametric univariate time series models
zbMATH Open document ID: 1478.62274
author: Qian M. Zhou
author: Huazhen Lin
author: Shulin Zhang
published in: Statistical Papers
publication date: 2022-01-07T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62G10
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 62G20
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 7453632
zbMATH Keywords: copula
zbMATH Keywords: cross-validation
zbMATH Keywords: goodness-of-fit test
zbMATH Keywords: likelihood
zbMATH Keywords: semiparametric time series models
describes a project that uses: copula
describes a project that uses: BRENT
describes a project that uses: tseries
describes a project that uses: numDeriv
describes a project that uses: Copula.Markov
MaRDI profile type: Publication
full work available at URL: s00362-019-01153-4
OpenAlex ID: W2997864270
cites work: Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
cites work: Copulas and Temporal Dependence
cites work: ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE
cites work: Vine Copula Specifications for Stationary Multivariate Markov Chains
cites work: Q4331455
cites work: Dependence structures for multivariate high-frequency data in finance
cites work: Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
cites work: Estimation of copula-based semiparametric time series models
cites work: Efficient estimation of copula-based semiparametric Markov models
cites work: A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
cites work: Q3598080
cites work: Copulas and Markov processes
cites work: Q5434185
cites work: Q5326859
cites work: Dynamic tail dependence clustering of financial time series
cites work: Limit Theorems for Dependent U-statistics
cites work: The t Copula and Related Copulas
cites work: A goodness of fit test for copulas based on Rosenblatt's transformation
cites work: Misspecified models with dependent observations
cites work: Construction of non-exchangeable bivariate distribution functions
cites work: Parametric likelihood inference and goodness-of-fit for dependently left-truncated data, a copula-based approach
cites work: A goodness-of-fit test for Archimedean copula models in the presence of right censoring
cites work: R routines for performing estimation and statistical process control under copula-based time series models
cites work: Goodness-of-fit tests for copulas
cites work: Frank's family of bivariate distributions
cites work: Statistical Inference Procedures for Bivariate Archimedean Copulas
cites work: Goodness-of-fit tests for copulas: A review and a power study
cites work: A Goodness-of-fit Test for Copulas
cites work: Model diagnostic procedures for copula-based Markov chain models for statistical process control
cites work: COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
cites work: Copulas and long memory
cites work: Q4382161
cites work: A NEW MEASURE OF RANK CORRELATION
cites work: Robust estimation for copula parameter in SCOMDY models
cites work: On mixtures of copulas and mixing coefficients
cites work: Testing the Gaussian copula hypothesis for financial assets dependences
cites work: Markov chains and stochastic stability
cites work: A Simplex Method for Function Minimization
cites work: An introduction to copulas.
cites work: The IOS Test for Model Misspecification
cites work: Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series
cites work: Copula-based semiparametric models for multivariate time series
cites work: Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
cites work: Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series
cites work: Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
cites work: Maximum Likelihood Estimation of Misspecified Models
cites work: A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach
cites work: Goodness-of-fit test for specification of semiparametric copula dependence models
cites work: Information ratio test for model misspecification on parametric structures in stochastic diffusion models
cites work: Information Ratio Test for Model Misspecification in Quasi-Likelihood Inference
Wikidata QID: Q126460613

Goodness-of-fit test of copula functions for semi-parametric univariate time series models (DOI)
DOI: 10.1007/S00362-019-01153-4