Goodness-of-fit tests for copulas
This paper defines two distribution free goodness-of-fit test statistics for copulas. It states their asymptotic distributions under some composite parametric assumptions in an independent identically distributed framework. A short simulation study is provided to assess their power performances.
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Volume (Year): 95 (2005)
Issue (Month): 1 (July)
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References listed on IDEAS
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- Justel, Ana & Peña, Daniel & Zamar, Rubén, 1997. "A multivariate Kolmogorov-Smirnov test of goodness of fit," Statistics & Probability Letters, Elsevier, vol. 35(3), pages 251-259, October.
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- Patton, Andrew J, 2001. "Estimation of Copula Models for Time Series of Possibly Different Length," University of California at San Diego, Economics Working Paper Series qt3fc1c8hw, Department of Economics, UC San Diego.
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