کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146312 957503 2010 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Some comments on goodness-of-fit tests for the parametric form of the copula based on L2L2-distances
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Some comments on goodness-of-fit tests for the parametric form of the copula based on L2L2-distances
چکیده انگلیسی

In a recent paper Fermanian (2005) [9] studied a goodness-of-fit test for the parametric form of a copula, which is based on an L2L2-distance between a parametric and a 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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 101, Issue 3, March 2010, Pages 749–763
نویسندگان
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