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Local Power Analyses of Goodness‐of‐fit Tests for Copulas

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  • DANIEL BERG
  • JEAN‐FRANÇOIS QUESSY

Abstract

. The asymptotic behaviour of several goodness‐of‐fit statistics for copula families is obtained under contiguous alternatives. Many comparisons between a Cramér–von Mises functional of the empirical copula process and new moment‐based goodness‐of‐fit statistics are made by considering their associated asymptotic local power curves. It is shown that the choice of the estimator for the unknown parameter can have a significant influence on the power of the Cramér–von Mises test and that some of the moment‐based statistics can provide simple and efficient goodness‐of‐fit methods.

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  • Daniel Berg & Jean‐François Quessy, 2009. "Local Power Analyses of Goodness‐of‐fit Tests for Copulas," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(3), pages 389-412, September.
    • Handle: RePEc:bla:scjsta:v:36:y:2009:i:3:p:389-412
    DOI: 10.1111/j.1467-9469.2009.00643.x
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    References listed on IDEAS

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    1. Genest, Christian & Quessy, Jean-François & Rémillard, Bruno, 2006. "Local efficiency of a Cramer-von Mises test of independence," Journal of Multivariate Analysis, Elsevier, vol. 97(1), pages 274-294, January.
    2. Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
    3. Christian Genest & Jean‐François Quessy & Bruno Rémillard, 2006. "Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 337-366, June.
    4. Daniel Berg, 2009. "Copula goodness-of-fit testing: an overview and power comparison," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 675-701.
    5. Schmid, Friedrich & Schmidt, Rafael, 2007. "Multivariate extensions of Spearman's rho and related statistics," Statistics & Probability Letters, Elsevier, vol. 77(4), pages 407-416, February.
    6. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
    7. Genest, Christian & Quessy, Jean-François & Rémillard, Bruno, 2006. "On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model," Statistics & Probability Letters, Elsevier, vol. 76(1), pages 10-18, January.
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    Cited by:

    1. Monica Billio & Lorenzo Frattarolo & Dominique Guegan, 2017. "Multivariate Reflection Symmetry of Copula Functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01592147, HAL.
    2. Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2016. "Goodness-of-fit test for specification of semiparametric copula dependence models," Journal of Econometrics, Elsevier, vol. 193(1), pages 215-233.
    3. Berghaus, Betina & Bücher, Axel, 2014. "Nonparametric tests for tail monotonicity," Journal of Econometrics, Elsevier, vol. 180(2), pages 117-126.
    4. Bruno Rémillard, 2017. "Goodness-of-Fit Tests for Copulas of Multivariate Time Series," Econometrics, MDPI, vol. 5(1), pages 1-23, March.
    5. Sebastian Kiwitt & Natalie Neumeyer, 2013. "A note on testing independence by a copula-based order selection approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(1), pages 62-82, March.
    6. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.

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