Some comments on goodness-of-fit tests for the parametric form of the copula based on L2-distances
In a recent paper Fermanian (2005)Â [9] studied a goodness-of-fit test for the parametric form of a copula, which is based on an L2-distance between a parametric and a nonparametric estimate of the copula density. In the present paper we investigate the asymptotic properties of the proposed test statistic under fixed alternatives. We also study the impact of different estimates for the parameters of the finite-dimensional family of copulas specified by the null hypothesis and illustrate the performance of a parametric bootstrap procedure for the approximation of the critical values.
Year of publication: |
2010
|
---|---|
Authors: | Bücher, Axel ; Dette, Holger |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 3, p. 749-763
|
Publisher: |
Elsevier |
Keywords: | Goodness-of-fit tests Copula L2-distance Parametric bootstrap |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
A note on bootstrap approximations for the empirical copula process
Bücher, Axel, (2010)
-
Testing model assumptions in functional regression models
Bücher, Axel, (2011)
-
Detecting changes in cross-sectional dependence in multivariate time series
Bücher, Axel, (2014)
- More ...