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Some comments on goodness-of-fit tests for the parametric form of the copula based on L2-distances

Listed author(s):
  • Bücher, Axel
  • Dette, Holger
Registered author(s):

    In a recent paper Fermanian (2005)Â [9] studied a goodness-of-fit test for the parametric form of a copula, which is based on an L2-distance between a parametric and a nonparametric estimate of the copula density. In the present paper we investigate the asymptotic properties of the proposed test statistic under fixed alternatives. We also study the impact of different estimates for the parameters of the finite-dimensional family of copulas specified by the null hypothesis and illustrate the performance of a parametric bootstrap procedure for the approximation of the critical values.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0047-259X(09)00179-1
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    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 101 (2010)
    Issue (Month): 3 (March)
    Pages: 749-763

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    Handle: RePEc:eee:jmvana:v:101:y:2010:i:3:p:749-763
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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. Scaillet, Olivier, 2007. "Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters," Journal of Multivariate Analysis, Elsevier, vol. 98(3), pages 533-543, March.
    3. Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
    4. 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.
    5. John Xu Zheng, 1996. "A consistent test of functional form via nonparametric estimation techniques," Journal of Econometrics, Elsevier, vol. 75(2), pages 263-289, December.
    6. Chunrong Ai, 1997. "A Semiparametric Maximum Likelihood Estimator," Econometrica, Econometric Society, vol. 65(4), pages 933-964, July.
    7. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
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