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Title

Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters

Author
Year 2005
Collection Cahiers de recherche; 2005.05
Abstract We study a test statistic based on the integrated squared difference between a kernel estimator of the copula density and a kernel smoothed estimator of the parametric copula density. We show for fixed smoothing parameters that the test is consistent and that the asymptotic properties are driven by a U-statistic of order 4 with degeneracy of order 3. For practical implementation we suggest to compute the critical values through a semiparametric bootstrap. Monte Carlo results show that the bootstrap procedure performs well in small samples. In particular size and power are less sensitive to smoothing parameter choice than they are under the asymptotic approximation obtained for a vanishing bandwidth.
Keywords NonparametricCopula densityGoodness-of-fit testU-statistic
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SCAILLET, Olivier. Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters. 2005 https://archive-ouverte.unige.ch/unige:5759

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Deposited on : 2010-04-15

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