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Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation

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  • CHRISTIAN GENEST
  • JEAN-FRANÇOIS QUESSY
  • BRUNO RÉMILLARD

Abstract

Wang & Wells ["J. Amer. Statist. Assoc." 95 (2000) 62] describe a non-parametric approach for checking whether the dependence structure of a random sample of censored bivariate data is appropriately modelled by a given family of Archimedean copulas. Their procedure is based on a truncated version of the Kendall process introduced by Genest & Rivest ["J. Amer. Statist. Assoc." 88 (1993) 1034] and later studied by Barbe "et al". ["J. Multivariate Anal." 58 (1996) 197]. Although Wang & Wells (2000) determine the asymptotic behaviour of their truncated process, their model selection method is based exclusively on the observed value of its "L"-super-2-norm. This paper shows how to compute asymptotic "p"-values for various goodness-of-fit test statistics based on a non-truncated version of Kendall's process. Conditions for weak convergence are met in the most common copula models, whether Archimedean or not. The empirical behaviour of the proposed goodness-of-fit tests is studied by simulation, and power comparisons are made with a test proposed by Shih ["Biometrika" 85 (1998) 189] for the gamma frailty family. Copyright 2006 Board of the Foundation of the Scandinavian Journal of Statistics..

Suggested Citation

  • Christian Genest & Jean-François Quessy & Bruno Rémillard, 2006. "Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 337-366.
  • Handle: RePEc:bla:scjsta:v:33:y:2006:i:2:p:337-366
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    1. Hardle, Wolfgang & Tsybakov, A. B., 1993. "How sensitive are average derivatives?," Journal of Econometrics, Elsevier, pages 31-48.
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