In a recent paper Fermanian (2005) [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...

In the functional regression model where the responses are curves, new tests for the functional form of the regression and the variance function are proposed, which are based on a stochastic process estimating L2-distances. Our approach avoids the explicit estimation of the functional regression...

Classical and more recent tests for detecting distributional changes in multivariate time series often lack power against alternatives that involve changes in the cross-sectional dependence structure. To be able to detect such changes better, a test is introduced based on a recently studied...

Considering multivariate strongly mixing time series, nonparametric tests for a constant copula with specified or unspecified change point (candidate) are derived; the tests are consistent against general alternatives. A tapered block multiplier technique based on serially dependent multiplier...