Improved kernel estimation of copulas: Weak convergence and goodness-of-fit testing

Annals of Statistics

Volumn 37, Issue 5 B, 2009, Pages 3023-3058

  Omelka, Marek ^a   Gijbels, Iréne ^b   Veraverbeke, Noël ^c  

^a CHARLES UNIVERSITY   (Czech Republic)

^b UNIVERSITY OF LEUVEN   (Belgium)

^c HASSELT UNIVERSITY   (Belgium)

Author keywords

Copula; Cram r von Mises statistics; Gaussian process; Goodness of fit; Kendall's tau; Kolmogorov Smirnov statistics; Parametric bootstrap; Pseudo observations; Weak convergence

Indexed keywords

EID: 69049102092     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/08-AOS666     Document Type: Article

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