Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters

Olivier Scaillet

FAME Research Paper Series from International Center for Financial Asset Management and Engineering

Abstract: We study a test statistic on the integrated squared difference between a kernel estimator of the copula density and a kernel smoothed estimator of the parametric copula density. We show for fixed smoothing parameters that the test is consistent and that the asymptotic properties are driven by a U-statistic of order 4 with degeneracy of order 3. For practical implementation we suggest to compute the critical values through a semiparametric bootstrap. Monte Carlo results show that the bootstrap procedure performs well in small samples. In particular size and power are less sensitive to smoothing parameter choice than they are under the asymptotic approximation obtained for a vanishing bandwidth.

Keywords: Nonparametric; Copula density; Goodness-of-fit test; U-statistic. (search for similar items in EconPapers)
JEL-codes: C12 D18 G10 G21 G22 (search for similar items in EconPapers)
Date: 2005-05
New Economics Papers: this item is included in nep-ets and nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.swissfinanceinstitute.ch/rp145.pdf
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.swissfinanceinstitute.ch/rp145.pdf [301 Moved Permanently]--> https://www.sfi.ch/rp145.pdf [302 Found]--> https://www.sfi.ch/en/rp145.pdf)

Related works:
Journal Article: Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters (2007)
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:fam:rpseri:rp145

Access Statistics for this paper

More papers in FAME Research Paper Series from International Center for Financial Asset Management and Engineering Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().