Some comments on goodness-of-fit tests for the parametric form of the copula based on L^2-distances

dc.contributor.author	Bücher, Axel	de
dc.contributor.author	Dette, Holger	de
dc.date.accessioned	2009-10-29T10:09:24Z
dc.date.available	2009-10-29T10:09:24Z
dc.date.issued	2009-07-06	de
dc.description.abstract	In a recent paper Fermanian (2005) studied a goodness-of-fit test for the parametric form of a copula, which is based on an L^2-distance between a parametric and nonparametric estimate of the copula density. In the present paper we investigate the asymptotic properties of the proposed test statistic under fixed alternatives. We also study the impact of different estimates for the parameters of the finite dimensional family of copulas specified by the null hypothesis and illustrate the performance of a parametric bootstrap procedure for the approximation of the critical values.	en
dc.identifier.uri	http://hdl.handle.net/2003/26481
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-12673
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823; 6/2009	de
dc.subject	Copula	en
dc.subject	goodness-of-fit tests	en
dc.subject	L^2-distance	en
dc.subject	parametric bootstrap	en
dc.subject.ddc	310	de
dc.subject.ddc	330	de
dc.subject.ddc	620	de
dc.title	Some comments on goodness-of-fit tests for the parametric form of the copula based on L^2-distances	en
dc.type	Text	de
dc.type.publicationtype	report	de
dcterms.accessRights	open access

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