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Chapter 1 An overview of the goodness-offit test problem for copulas
| Content Provider | Semantic Scholar |
|---|---|
| Author | Fermanian, Jean-David |
| Copyright Year | 2012 |
| Abstract | 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. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.crest.fr/ckfinder/userfiles/files/Pageperso/fermania/Copulae2012_GOFSurvey_JDF_revised.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Chapter |
