Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas

S.U. Can, John Einmahl, R.J.A. Laeven

Research output: Working paperDiscussion paperOther research output

423 Downloads (Pure)

Abstract

Consider a random sample from a continuous multivariate distribution function
F with copula C. In order to test the null hypothesis that C belongs to a certain
parametric family, we construct an under H0 asymptotically distribution-free process that serves as a tests generator. The process is a transformation of the difference of a semi-parametric and a parametric estimator of C. This transformed empirical process converges weakly to a standard multivariate Wiener process, paving the way for a multitude of powerful asymptotically distribution-free goodness-of-t tests for copula families. We investigate the finite-sample performance of our approach through a simulation study and illustrate its applicability with a data analysis.
Original languageEnglish
Place of PublicationTilburg
PublisherCentER, Center for Economic Research
Number of pages33
Volume2017-052
Publication statusPublished - 11 Dec 2017

Publication series

NameCentER Discussion Paper
Volume2017-052

Keywords

  • Khmaladze transform,
  • copula estimation
  • empirical process

Fingerprint

Dive into the research topics of 'Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas'. Together they form a unique fingerprint.

Cite this