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

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  • Dobric, Jadran
  • Schmid, Friedrich

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  • Dobric, Jadran & Schmid, Friedrich, 2007. "A goodness of fit test for copulas based on Rosenblatt's transformation," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4633-4642, May.
    • Handle: RePEc:eee:csdana:v:51:y:2007:i:9:p:4633-4642
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    1. Y. Malevergne & D. Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 231-250.
    2. Frahm, Gabriel & Junker, Markus & Szimayer, Alexander, 2003. "Elliptical copulas: applicability and limitations," Statistics & Probability Letters, Elsevier, vol. 63(3), pages 275-286, July.
    3. W. Breymann & A. Dias & P. Embrechts, 2003. "Dependence structures for multivariate high-frequency data in finance," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 1-14.
    4. 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, June.
    5. Marsaglia, George & Marsaglia, John, 2004. "Evaluating the Anderson-Darling Distribution," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 9(i02).
    6. Fang, Hong-Bin & Fang, Kai-Tai & Kotz, Samuel, 2002. "The Meta-elliptical Distributions with Given Marginals," Journal of Multivariate Analysis, Elsevier, vol. 82(1), pages 1-16, July.
    7. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
    8. Markus Junker & Angelika May, 2005. "Measurement of aggregate risk with copulas," Econometrics Journal, Royal Economic Society, vol. 8(3), pages 428-454, December.
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    Cited by:

    1. Grundke, Peter, 2010. "Top-down approaches for integrated risk management: How accurate are they?," European Journal of Operational Research, Elsevier, vol. 203(3), pages 662-672, June.
    2. Can, S.U. & Einmahl, John & Laeven, R.J.A., 2017. "Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas," Discussion Paper 2017-052, Tilburg University, Center for Economic Research.
    3. Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2016. "Goodness-of-fit test for specification of semiparametric copula dependence models," Journal of Econometrics, Elsevier, vol. 193(1), pages 215-233.
    4. Hofert, Marius & Oldford, Wayne, 2018. "Visualizing dependence in high-dimensional data: An application to S&P 500 constituent data," Econometrics and Statistics, Elsevier, vol. 8(C), pages 161-183.
    5. Bücher, Axel & Dette, Holger, 2010. "Some comments on goodness-of-fit tests for the parametric form of the copula based on L2-distances," Journal of Multivariate Analysis, Elsevier, vol. 101(3), pages 749-763, March.
    6. Yang, Bingduo & Cai, Zongwu & Hafner, Christian M. & Liu, Guannan, 2018. "Trending Mixture Copula Models with Copula Selection," IRTG 1792 Discussion Papers 2018-057, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    7. Bruno Rémillard, 2017. "Goodness-of-Fit Tests for Copulas of Multivariate Time Series," Econometrics, MDPI, vol. 5(1), pages 1-23, March.
    8. Tobias Eckernkemper, 2018. "Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 63-117.
    9. Manner Hans, 2010. "Testing for Asymmetric Dependence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-32, March.
    10. Bingduo Yang & Christian M. Hafner & Guannan Liu & Wei Long, 2021. "Semiparametric estimation and variable selection for single‐index copula models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 962-988, November.
    11. Christian M. Hafner & Hans Manner, 2012. "Dynamic stochastic copula models: estimation, inference and applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(2), pages 269-295, March.
    12. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. III," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 24(4), pages 100-130.
    13. Lu, Xiaohui & Zheng, Xu, 2020. "A goodness-of-fit test for copulas based on martingale transformation," Journal of Econometrics, Elsevier, vol. 215(1), pages 84-117.
    14. Hafner, Christian M. & Reznikova, Olga, 2010. "Efficient estimation of a semiparametric dynamic copula model," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2609-2627, November.
    15. Emura, Takeshi & Lin, Chien-Wei & Wang, Weijing, 2010. "A goodness-of-fit test for Archimedean copula models in the presence of right censoring," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3033-3043, December.
    16. Shulin Zhang & Qian M. Zhou & Huazhen Lin, 2021. "Goodness-of-fit test of copula functions for semi-parametric univariate time series models," Statistical Papers, Springer, vol. 62(4), pages 1697-1721, August.
    17. Vishal Chettry & Meenal Surawar, 2021. "Assessment of urban sprawl characteristics in Indian cities using remote sensing: case studies of Patna, Ranchi, and Srinagar," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 23(8), pages 11913-11935, August.
    18. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
    19. Nikoloulopoulos, Aristidis K. & Karlis, Dimitris, 2008. "Copula model evaluation based on parametric bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3342-3353, March.
    20. Wu Zening & He Chentao & Huiliang Wang & Qian Zhang, 2020. "Reservoir Inflow Synchronization Analysis for Four Reservoirs on a Mainstream and its Tributaries in Flood Season Based on a Multivariate Copula Model," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 34(9), pages 2753-2770, July.
    21. Can, S.U. & Einmahl, John & Laeven, R.J.A., 2020. "Goodness-of-fit testing for copulas: A distribution-free approach," Other publications TiSEM 211b2be9-b46e-41e2-9b95-1, Tilburg University, School of Economics and Management.
    22. Grundke, Peter & Polle, Simone, 2012. "Crisis and risk dependencies," European Journal of Operational Research, Elsevier, vol. 223(2), pages 518-528.

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