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2013 Statistical testing of covariate effects in conditional copula models
Elif F. Acar, Radu V. Craiu, Fang Yao
Electron. J. Statist. 7: 2822-2850 (2013). DOI: 10.1214/13-EJS866


In conditional copula models, the copula parameter is deterministically linked to a covariate via the calibration function. The latter is of central interest for inference and is usually estimated nonparametrically. However, in many applications it is scientifically important to test whether the calibration function is constant or not. Moreover, a correct model of a constant relationship results in significant gains of statistical efficiency. We develop methodology for testing a parametric formulation of the calibration function against a general alternative and propose a generalized likelihood ratio-type test that enables conditional copula model diagnostics. We derive the asymptotic null distribution of the proposed test and study its finite sample performance using simulations. The method is applied to two data examples.


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Elif F. Acar. Radu V. Craiu. Fang Yao. "Statistical testing of covariate effects in conditional copula models." Electron. J. Statist. 7 2822 - 2850, 2013.


Published: 2013
First available in Project Euclid: 2 December 2013

zbMATH: 1280.62052
MathSciNet: MR3148369
Digital Object Identifier: 10.1214/13-EJS866

Primary: 62H20
Secondary: 62G10

Rights: Copyright © 2013 The Institute of Mathematical Statistics and the Bernoulli Society


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