Goodness-of-fit tests for copulas

This paper defines two distribution free goodness-of-fit test statistics for copulas. It states their asymptotic distributions under some composite parametric assumptions in an independent identically distributed framework. A short simulation study is provided to assess their power performances.

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Year of publication:	2005
Authors:	Fermanian, Jean-David
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 95.2005, 1, p. 119-152
Publisher:	Elsevier
Keywords:	Copulas GOF tests Kernel Basket derivatives

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005152922