Goodness-of-fit tests for copulas

被引：206

作者：

Fermanian, JD

机构：

[1] CREST, F-92245 Malakoff, France

[2] CDC Ixis Capital Markets, F-75678 Paris, France

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2005年 / 95卷 / 01期

关键词：

copulas; GOF tests; kernel; basket derivatives;

D O I：

10.1016/j.jmva.2004.07.004

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (c) 2004 Elsevier Inc. All rights reserved.

引用

页码：119 / 152

页数：34

共 42 条

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