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Goodness-of-fit tests for copulas

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  • Fermanian, Jean-David

Abstract

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.

Suggested Citation

  • Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
    • Handle: RePEc:eee:jmvana:v:95:y:2005:i:1:p:119-152
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    References listed on IDEAS

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