Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters
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- 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.
References listed on IDEAS
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- 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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- 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.
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- Braekers, Roel & Van Keilegom, Ingrid, 2009. "Flexible modeling based on copulas in nonparametric median regression," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1270-1281, July.
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More about this item
KeywordsNonparametric; Copula density; Goodness-of-fit test; U-statistic.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- D18 - Microeconomics - - Household Behavior - - - Consumer Protection
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-06-05 (All new papers)
- NEP-ETS-2005-06-05 (Econometric Time Series)
- NEP-FIN-2005-06-05 (Finance)
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