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About tests of the “simplifying” assumption for conditional copulas

Author

Listed:
  • Alexis Derumigny

    (CREST; ENSAE)

  • Jean-David Fermanian

    (CREST; ENSAE)

Abstract

We discuss the so-called “simplifying assumption” of conditional copulas in a general framework. We introduce several tests of the latter assumption for non- and semiparametric copula models. Some related test procedures based on conditioning subsets instead of pointwise events are proposed. The limiting distribution of such test statistics under the null are approximated by several bootstrap schemes, most of them being new. We prove the validity of a particular semiparametric bootstrap scheme. Some simulations illustrate the relevance of our results.

Suggested Citation

  • Alexis Derumigny & Jean-David Fermanian, 2017. "About tests of the “simplifying” assumption for conditional copulas," Working Papers 2017-02, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2017-02
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    Cited by:

    1. Guannan Liu & Wei Long & Bingduo Yang & Zongwu Cai, 2022. "Semiparametric estimation and model selection for conditional mixture copula models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 287-330, March.
    2. Bücher Axel & Jaser Miriam & Min Aleksey, 2021. "Detecting departures from meta-ellipticity for multivariate stationary time series," Dependence Modeling, De Gruyter, vol. 9(1), pages 121-140, January.
    3. Portier, François & Segers, Johan, 2018. "On the weak convergence of the empirical conditional copula under a simplifying assumption," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 160-181.
    4. Brantly Callaway & Tong Li & Irina Murtazashvili, 2021. "Nonlinear Approaches to Intergenerational Income Mobility allowing for Measurement Error," Papers 2107.09235, arXiv.org, revised Dec 2021.
    5. Gijbels Irène & Matterne Margot, 2021. "Study of partial and average conditional Kendall’s tau," Dependence Modeling, De Gruyter, vol. 9(1), pages 82-120, January.
    6. Levi, Evgeny & Craiu, Radu V., 2018. "Bayesian inference for conditional copulas using Gaussian Process single index models," Computational Statistics & Data Analysis, Elsevier, vol. 122(C), pages 115-134.

    More about this item

    Keywords

    conditional copula; simplifying assumption; bootstrap;
    All these keywords.

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