Bootstrapping L2-type statistics in copula density testing

Rehbock Volker

Statistics & Risk Modeling, 2007, vol. 25, issue 4, 333-347

Abstract: In this paper, we address the problem of testing the goodness of fit of a copula density function in the context of a d-dimensional i.i.d. sample by using a L2-type statistic. In extension to Fermanian [4], we propose to use a bootstrap approximation of the distribution of the test statistic. We show the validity of the bootstrap and perform a simulation study. Stochastic independence can be characterised in terms of the underlying copula and so we use the test as a test of independence.

Keywords: copula; density testing; bootstrap (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1524/stnd.2007.0907

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