An overview of the goodness-of-fit test problem for copulas
Methodology
2012-11-20 v1 Statistical Finance
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.
Keywords
Cite
@article{arxiv.1211.4416,
title = {An overview of the goodness-of-fit test problem for copulas},
author = {Jean-David Fermanian},
journal= {arXiv preprint arXiv:1211.4416},
year = {2012}
}