Smooth Tests of Copula Specifications Academic Article

abstract

• 2015, 2015 American Statistical Association. We present a family of smooth tests for the goodness of fit of semiparametric multivariate copula models. The proposed tests are distribution free and can be easily implemented. They are diagnostic and constructive in the sense that when a null distribution is rejected, the test provides useful pointers to alternative copula distributions. We then propose a method of copula density construction, which can be viewed as a multivariate extension of Efron and Tibshirani. We further generalize our methods to the semiparametric copula-based multivariate dynamic models. We report extensive Monte Carlo simulations and three empirical examples to illustrate the effectiveness and usefulness of our method.

authors

• Wu, Ximing

published proceedings

• JOURNAL OF BUSINESS & ECONOMIC STATISTICS

author list (cited authors)

• Lin, J., & Wu, X.

citation count

• 5

complete list of authors

• Lin, Juan||Wu, Ximing

publication date

• January 2015

publisher

• Taylor & Francis  Publisher

published in

• Journal of business & economic statistics  Journal

keywords

• Copula
• Dynamic Models
• Smooth Test
• Specification Test

Digital Object Identifier (DOI)

• 10.1080/07350015.2014.932696

start page

• 128

end page

• 143

volume

• 33

issue

• 1

URL

• http%3A%2F%2Fdx.doi.org%2F10.1080%2F07350015.2014.932696