A goodness of fit test for copulas based on Rosenblatt's transformation

被引：84

作者：

Dobric, Jadran ^{[1
]}

Schmid, Friedrich ^{[1
]}

机构：

[1] Univ Cologne, Seminar Wirtsch & Sozialstat, D-50923 Cologne, Germany

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2007年 / 51卷 / 09期

关键词：

goodness of fit test; copulas; Rosenblatt transformation; parametric bootstrap;

D O I：

10.1016/j.csda.2006.08.012

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

A goodness of fit test for copulas based on Rosenblatt's transformation is investigated. This test performs well if the marginal distribution functions are known and are used in the test statistic. If the marginal distribution functions are unknown and are replaced by their empirical estimates, then the test's properties change significantly. This is shown in detail by simulation for special cases. A bootstrap version of the test is suggested and it is shown by simulation that it performs well. An empirical application of this test to daily returns of German assets reveals that a Gaussian copula is unsuitable to describe their dependence structure. A t(nu)-copula with low degrees of freedom such as nu = 4 or 5 fits the data in some cases. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：4633 / 4642

页数：10

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