An Overview of the Goodness-of-Fit Test Problem for Copulas View Full Text


Ontology type: schema:Chapter      Open Access: True


Chapter Info

DATE

2013-04-26

AUTHORS

Jean-David Fermanian

ABSTRACT

We review the main “omnibus procedures” for goodness-of-fit (GOF) testing for copulas: tests based on the empirical copula process, on probability integral transformations (PITs), 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. More... »

PAGES

61-89

Book

TITLE

Copulae in Mathematical and Quantitative Finance

ISBN

978-3-642-35406-9
978-3-642-35407-6

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-3-642-35407-6_4

DOI

http://dx.doi.org/10.1007/978-3-642-35407-6_4

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1025210587


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