Goodness-of-fit tests for copulas

Journal of Multivariate Analysis

Volumn 95, Issue 1, 2005, Pages 119-152

  Fermanian, Jean David ^a,b,c  

^a CREST   (France)

^b CDC Ixis Capital Markets   (France)

^c CREST   (France)

Author keywords

Basket derivatives; Copulas; GOF tests; Kernel

Indexed keywords

EID: 18744406022     PISSN: 0047259X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmva.2004.07.004     Document Type: Article

References (42)

1. C. Ai A semiparametric maximum likelihood estimator Econometrica 65 1997 933-963
2. Y. Aït-Sahalia Testing continuous-time models of the spot interest rate Rev. Fin. Studies 9 1996 385-426
3. P.K. Andersen, C. Ekstrøm, J.P. Klein, Y. Shu, M.J. Zhang, Testing the goodness-of-fit of a copula based on right censored data, Mimeo, 2002 available on the web.
4. D. Andrews Estimation when a parameter is on a boundary Econometrica 67 1999 1341-1383
5. P. Bickel M. Rosenblatt On some global measures of the deviation of density function estimates Ann. Statist. 1 1973 1071-1095
6. D. Bosq J.-P. Lecoutre Théorie de l'estimation fonctionnelle 1987 Economica Paris
7. W. Breyman A. Dias P. Embrechts Dependence structures for multivariate high-frequency data in finance Quant. Fin. 3 2003 1-16
8. X. Chen, Y. Fan, Estimation of Copula-based semiparametric time series models, Mimeo, 2002.
9. X. Chen, Y. Fan, A. Patton, Simple tests for models of dependence between financial time series: With applications to US equity returns and exchange rates, Mimeo, 2003.
10. P. Deheuvels La fonction de dépendance empirique et ses propriétés. Un test non paramétrique d'indépendance Acad. R. Belg. Bull. Cl. Sci., 5 Sér. 65 1979 274-292
11. P. Deheuvels, A Kolmogorov-Smirnov type test for independence and multivariate samples, Rev. Roum. Math. Pures et Appl. Tome XXVI, (2) (1981a) 213-226.
12. P. Deheuvels, A nonparametric test of independence, Publications de l'ISUP 26, 1981b, pp. 29-50.
13. Y. Fan Testing the goodness of fit of a parametric density function by kernel method Econometric Theory 10 1994 316-356
14. Y. Fan, Q. Li, A general nonparametric model specification test Manuscript, Departments of Economics, University of Windsor, 1992.
15. Y. Fan A. Ullah On goodness-of-fit tests for weakly dependent processes using kernel method J. Nonparametric Statist. 11 1999 337-360
16. J.-D. Fermanian, D. Radulovic, M. Wegkamp, Weak convergence of empirical copula process, Working Paper CREST (2002) 2002-06.
17. J.-D. Fermanian O. Scaillet Nonparametric estimation of copulas for time series J. of Risk 5 4 2002 25-54
18. R. Foutz A test for goodness-of-fit based on an empirical probability measure Ann. Statist. 8 1980 989-1001
19. E. Frees E. Valdez Understanding relationships using copulas North Amer. Actuarial J. 2 1998 1-25
20. C. Genest C. Rivest Statistical inference procedures for bivariate archimedean copulas J. Amer. Statist. Assoc. 88 1993 1034-1043
21. C. Genest K. Ghoudi C. Rivest A semiparametric estimation porcedure of dependence parameters in multivariate families of distributions Biometrika 82 1995 543-552
22. C. Gouriéroux C. Tenreiro Local power properties of kernel based goodness-of-fit tests J. Multivariate Anal. 78 2000 161-190
23. C. Gouriéroux, P. Gagliardini, Constrained nonparametric copulas, Working paper CREST, 2002.
24. P. Hall Central limit theorem for integrated square error of multivariate nonparametric density estimators J. Multivariate Anal. 14 1984 1-16
25. V. Hjellvik Q. Yao V. Tjøstheim Linearity testing using local polynomial approximation J. Statist. Plann. Inf. 68 1998 295-321
26. W. Härdle E. Mammen Comparing nonparametric versus parametric regression fits Ann. Statist. 21 1993 1926-1947
27. H.-L. Hu, Large sample theory of pseudo-maximum likelihood estimates in semiparametric models, Ph.D. Thesis, Univ. Washington, 1998.
28. A. Justel D. Pena R. Zamar A multivariate Kolmogorov-Smirnov test of goodness of fit Statist. Prob. Lett. 35 1997 251-259
29. Y. Hong, H. Li, Nonparametric specification testing for continuous-time models with application to spot interest rates, Mimeo, 2002.
30. E.V. Khmaladze Martingale approach to the theory of goodness of fit tests Theory Prob. Appl. 26 1981 240-257
31. m Ann. Statist. 16 1988 1503-1516
32. E.V. Khmaladze Goodness of fit problem and scanning innovation martingales Ann. Statist. 21 1993 798-829
33. A. Patton, Modelling time-varying exchange rate dependence using the conditional copula, UCSD WP 2001-09, 2001a.
34. A. Patton, Estimation of copula models for time series of possibly different lengths, UCSD WP 2001-17, 2001b.
35. D. Pollard General Chi-square goodness-of-fit tests with data-dependent cells Z. Wahrsch. verw. Gebiete 50 1979 317-331
36. W. Polonik Concentration and goodness-of-fit in higher dimensions: (Asymptotically) distribution-free methods Ann. Statist. 27 1999 1210-1229
37. M. Rosenblatt Remarks on a multivariate transformation Ann. Statist. 23 1952 470-472
38. M. Rosenblatt Quadratic measure of deviation of two dimensional density estimates and a test of independence Ann. Statist. 3 1975 1-14
39. R. Saunders P. Laud The multidimensional Kolmogorov goodness-of-fit test Biometrika 67 1980 237
40. J. Shi T. Louis Inferences on the association parameter in copula models for bivariate survival data Biometrics 51 1995 1384-1399
41. B. Silverman Density Estimation for Statistics and Data Analysis 1986 Chapman & Hall London
42. J. Zheng A consistent test of functional form via nonparametric estimation technique J. Econometrics 75 1996 263-289