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About tests of the “simplifying” assumption for conditional copulas

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  • Derumigny Alexis

    (ENSAE, 3 avenue Pierre-Larousse, 92245 Malakoff cedex, France)

  • Fermanian Jean-David

    (ENSAE, J120, 3 avenue Pierre-Larousse, 92245 Malakoff cedex, France)

Abstract

We discuss the so-called “simplifying assumption” of conditional copulas in a general framework. We introduce several tests of the latter assumption for non- and semiparametric copula models. Some related test procedures based on conditioning subsets instead of point-wise events are proposed. The limiting distributions of such test statistics under the null are approximated by several bootstrap schemes, most of them being new. We prove the validity of a particular semiparametric bootstrap scheme. Some simulations illustrate the relevance of our results.

Suggested Citation

  • Derumigny Alexis & Fermanian Jean-David, 2017. "About tests of the “simplifying” assumption for conditional copulas," Dependence Modeling, De Gruyter, vol. 5(1), pages 154-197, August.
    • Handle: RePEc:vrs:demode:v:5:y:2017:i:1:p:154-197:n:11
    DOI: 10.1515/demo-2017-0011
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    References listed on IDEAS

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    2. Levi, Evgeny & Craiu, Radu V., 2018. "Bayesian inference for conditional copulas using Gaussian Process single index models," Computational Statistics & Data Analysis, Elsevier, vol. 122(C), pages 115-134.

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