Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Berghaus, Betina | - |
dc.contributor.author | Bücher, Axel | - |
dc.date.accessioned | 2014-05-21T15:11:14Z | - |
dc.date.available | 2014-05-21T15:11:14Z | - |
dc.date.issued | 2014-05-21 | - |
dc.identifier.uri | http://hdl.handle.net/2003/33154 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-15495 | - |
dc.description.abstract | In recent years, stationary time series models based on copula functions became increasingly popular in econometrics to model nonlinear temporal and cross-sectional dependencies. Within these models, we consider the problem of testing the goodness-of-fit of the parametric form of the underlying copula. Our approach is based on a dependent multiplier bootstrap and it can be applied to any stationary, strongly mixing time series. The method extends recent i.i.d. results by Kojadinovic, Yan and Holmes [I. Kojadinovic, Y. Yan and M. Holmes, Fast large sample goodness-of- fit tests for copulas, Statistica Sinica 21 (2011), 841{871] and shares the same computational benefits compared to methods based on a parametric bootstrap. The finite-sample performance of our approach is investigated by Monte Carlo experiments for the case of copula-based Markovian time series models. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;22/2014 | - |
dc.subject | empirical process | en |
dc.subject | semiparametric copula model | en |
dc.subject | ranks | en |
dc.subject | pseudo-observations | en |
dc.subject | multivariate observations | en |
dc.subject | Markov chain | en |
dc.subject | multiplier central limit theorem | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Goodness-of- fit tests for multivariate copula-based time series models | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
DP_2214_SFB823_Berghaus_Bücher.pdf | DNB | 774.11 kB | Adobe PDF | View/Open |
This item is protected by original copyright |
This item is protected by original copyright
rightsstatements.org