A goodness-of-fit test for copulas based on the collision test

Yiran Chen () and Giray Ökten
Additional contact information
Yiran Chen: Florida State University
Giray Ökten: Florida State University

Statistical Papers, 2022, vol. 63, issue 5, No 1, 1369-1385

Abstract: Abstract We propose a new goodness-of-fit test for copulas using the collision test for pseudorandom number generators and Voronoi diagrams generated by low-discrepancy sequences. We provide an error bound for numerical integration that involves number of collisions when the unit cube is partitioned via Voronoi cells, and present an example from option pricing. We investigate the accuracy of the goodness-of-fit test numerically, and compare it with three tests in the literature. The numerical results suggest the new test excels in computationally demanding scenarios when the sample size is large or computing the copula is expensive, and provides sufficient accuracy in computing times that are faster by factors of thousands than the tests with comparable accuracy.

Keywords: Copulas; Goodness-of-fit tests; Voronoi diagrams; Collision test; Low-discrepancy sequences (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s00362-021-01277-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:stpapr:v:63:y:2022:i:5:d:10.1007_s00362-021-01277-6

Ordering information: This journal article can be ordered from
http://www.springer. ... business/journal/362

DOI: 10.1007/s00362-021-01277-6

Access Statistics for this article

Statistical Papers is currently edited by C. Müller, W. Krämer and W.G. Müller

More articles in Statistical Papers from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().