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arXiv · 1211.4416

An overview of the goodness-of-fit test problem for copulas

Jean-David Fermanian
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Abstract

We review the main "omnibus procedures" for goodness-of-fit testing for copulas: tests based on the empirical copula process, on probability integral transformations, on Kendall's dependence function, etc, and some corresponding reductions of dimension techniques. The problems of finding asymptotic distribution-free test statistics and the calculation of reliable p-values are discussed. Some particular cases, like convenient tests for time-dependent copulas, for Archimedean or extreme-value copulas, etc, are dealt with. Finally, the practical performances of the proposed approaches are briefly summarized.

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Jean-David Fermanian. 2012-11-19. An overview of the goodness-of-fit test problem for copulas. https://arxiv.org/abs/1211.4416

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