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An Overview of the Goodness-of-fit Test Problem for Copulas by Fermanian, Jean-David is a scholarly article available to read on EtoBox.

What is An Overview of the Goodness-of-fit Test Problem for Copulas about?

We review the main "omnibus procedures" for goodness-of-fit testing for copulas: tests based on the empirical copula process, on probability integral transformations, on Kendall's dependence function, etc, and some corresponding reductions of dimension techniques. The problems of finding asymptotic distribution-free test statistics and the calculation of reliable p-values are discussed. Some particular cases, like convenient tests for time-dependent copulas, for Archimedean or extreme-value copulas, etc, are dealt with. Finally, the practical performances of the proposed approaches are briefly summarized.

Author

Fermanian, Jean-David

Published

2012

Language

EN