Goodness-of-fit tests for copulas

Jean-David Fermanian

Journal of Multivariate Analysis, 2005, vol. 95, issue 1, 119-152

Abstract: This paper defines two distribution free goodness-of-fit test statistics for copulas. It states their asymptotic distributions under some composite parametric assumptions in an independent identically distributed framework. A short simulation study is provided to assess their power performances.

Keywords: Copulas; GOF; tests; Kernel; Basket; derivatives (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (112)

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