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An overview of the goodness-of-fit test problem for copulas

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  • Jean-David Fermanian
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    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.

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    File URL: http://arxiv.org/pdf/1211.4416
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    Paper provided by arXiv.org in its series Papers with number 1211.4416.

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    Date of creation: Nov 2012
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    Handle: RePEc:arx:papers:1211.4416

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