Local Power Analyses of Goodness‐of‐fit Tests for Copulas

Daniel Berg and Jean‐françois Quessy

Scandinavian Journal of Statistics, 2009, vol. 36, issue 3, 389-412

Abstract: Abstract. The asymptotic behaviour of several goodness‐of‐fit statistics for copula families is obtained under contiguous alternatives. Many comparisons between a Cramér–von Mises functional of the empirical copula process and new moment‐based goodness‐of‐fit statistics are made by considering their associated asymptotic local power curves. It is shown that the choice of the estimator for the unknown parameter can have a significant influence on the power of the Cramér–von Mises test and that some of the moment‐based statistics can provide simple and efficient goodness‐of‐fit methods.

Date: 2009
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https://doi.org/10.1111/j.1467-9469.2009.00643.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:36:y:2009:i:3:p:389-412

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