Local Power Analyses of Goodness-of-fit Tests for Copulas

被引：17

作者：

Berg, Daniel ^{[2
,3
]}

Quessy, Jean-Francois ^{[1
]}

机构：

[1] Univ Quebec, Dept Math & Informat, Trois Rivieres, PQ G9A 5H7, Canada

[2] Univ Oslo, Dept Math, N-0316 Oslo, Norway

[3] Norwegian Comp Ctr, Trondheim, Norway

来源：

SCANDINAVIAN JOURNAL OF STATISTICS | 2009年 / 36卷 / 03期

基金：

加拿大自然科学与工程研究理事会;

关键词：

contiguous alternatives; copula; Cramer-von Mises statistic; empirical copula process; goodness-of-fit test; local power curves; rank-based estimators; SEMIPARAMETRIC ESTIMATION; ASSOCIATION PARAMETER; MODELS; INDEPENDENCE; EFFICIENCY;

D O I：

10.1111/j.1467-9469.2009.00643.x

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：

The asymptotic behaviour of several goodness-of-fit statistics for copula families is obtained under contiguous alternatives. Many comparisons between a Cramer-von Mises functional of the empirical copula process and new moment-based goodness-of-fit statistics are made by considering their associated asymptotic local power curves. It is shown that the choice of the estimator for the unknown parameter can have a significant influence on the power of the Cramer-von Mises test and that some of the moment-based statistics can provide simple and efficient goodness-of-fit methods.

引用

页码：389 / 412

页数：24

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