Abstract
Consider a random sample from a continuous multivariate distribution function F with copula C. In order to test the null hypothesis that C belongs to a certain parametric family, we construct an empirical process on the unit hypercube that converges weakly to a standard Wiener process under the null hypothesis. This process can therefore serve as a ‘tests generator’ for asymptotically distribution-free goodness-of-fit testing of copula families. We also prove maximal sensitivity of this process to contiguous alternatives. Finally, we demonstrate through a Monte Carlo simulation study that our approach has excellent finite-sample performance, and we illustrate its applicability with a data analysis.
Citation
Sami Umut Can. John H.J. Einmahl. Roger J.A. Laeven. "Goodness-of-fit testing for copulas: A distribution-free approach." Bernoulli 26 (4) 3163 - 3190, November 2020. https://doi.org/10.3150/20-BEJ1219
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