A goodness-of-fit test for copulas

Prokhorov, Artem (2008): A goodness-of-fit test for copulas.

Abstract

A new goodness-of-fit test of copulas is proposed. It is based on restrictions on certain elements of the information matrix and so relates to the White (1982) specification test. The test avoids the need to correctly specify and consistently estimate a parametric model for the marginal distributions. It does not involve kernel weighting and bandwidth selection or parametric bootstrap and is relatively simple compared to other available tests.

• Item Type: MPRA Paper
• Language: English
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General

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